Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: Central limit theorem and moderate deviation asymptotics
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DOI: 10.1016/j.spa.2020.10.009
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- Pagès, Gilles & Panloup, Fabien, 2014. "A mixed-step algorithm for the approximation of the stationary regime of a diffusion," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 522-565.
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- Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Bezemek, Z.W. & Spiliopoulos, K., 2023. "Large deviations for interacting multiscale particle systems," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 27-108.
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Keywords
Estimation of invariant distributions; Ergodic diffusions; Euler approximation; Central limit theorem; Large and moderate deviations; Stochastic algorithms;All these keywords.
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