Weak convergence of recursions
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Basak, Gopal K., 1991. "A class of limit theorems for singular diffusions," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 44-59, October.
- Bhattacharya, R. N. & Ramasubramanian, S., 1982. "Recurrence and ergodicity of diffusions," Journal of Multivariate Analysis, Elsevier, vol. 12(1), pages 95-122, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gilles Pagès & Clément Rey, 2023. "Discretization of the Ergodic Functional Central Limit Theorem," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-44, March.
- Gopal K. Basak & Amites Dasgupta, 2006. "Central and Functional Central Limit Theorems for a Class of Urn Models," Journal of Theoretical Probability, Springer, vol. 19(3), pages 741-756, December.
- Honoré, Igor, 2020. "Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 2127-2158.
- Pagès Gilles & Rey Clément, 2019. "Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications," Monte Carlo Methods and Applications, De Gruyter, vol. 25(1), pages 1-36, March.
- Amarjit Budhiraja & Jiang Chen & Sylvain Rubenthaler, 2014. "A Numerical Scheme for Invariant Distributions of Constrained Diffusions," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 262-289, May.
- Pagès, Gilles & Rey, Clément, 2020. "Recursive computation of invariant distributions of Feller processes," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 328-365.
- Panloup, Fabien, 2009. "A connection between extreme value theory and long time approximation of SDEs," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3583-3607, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ben Hambly & Nikolaos Kolliopoulos, 2020. "Fast mean-reversion asymptotics for large portfolios of stochastic volatility models," Finance and Stochastics, Springer, vol. 24(3), pages 757-794, July.
- Gopal Basak & Mrinal Ghosh & Diganta Mukherjee, 2011. "Influence of Big Traders on the Stock Market: Theory and Simulation," Dynamic Games and Applications, Springer, vol. 1(2), pages 220-252, June.
- Takashi Kamihigashi & John Stachurski, 2014. "Stability Analysis for Random Dynamical Systems in Economics," Discussion Paper Series DP2014-35, Research Institute for Economics & Business Administration, Kobe University.
- Ben Hambly & Nikolaos Kolliopoulos, 2018. "Fast mean-reversion asymptotics for large portfolios of stochastic volatility models," Papers 1811.08808, arXiv.org, revised Feb 2020.
- Heunis, Andrew J., 2003. "Strong invariance principle for singular diffusions," Stochastic Processes and their Applications, Elsevier, vol. 104(1), pages 57-80, March.
More about this item
Keywords
Diffusion Invariant measure Martingale Stochastic differential equation Weak convergence;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:68:y:1997:i:1:p:65-82. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.