IDEAS home Printed from https://ideas.repec.org/a/spr/metcap/v21y2019i3d10.1007_s11009-017-9567-2.html
   My bibliography  Save this article

Hitting Time and Convergence Rate Bounds for Symmetric Langevin Diffusions

Author

Listed:
  • Gareth O. Roberts

    (University of Warwick)

  • Jeffrey S. Rosenthal

    (University of Toronto)

Abstract

We provide quantitative bounds on the convergence to stationarity of real-valued Langevin diffusions with symmetric target densities.

Suggested Citation

  • Gareth O. Roberts & Jeffrey S. Rosenthal, 2019. "Hitting Time and Convergence Rate Bounds for Symmetric Langevin Diffusions," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 921-929, September.
    • Handle: RePEc:spr:metcap:v:21:y:2019:i:3:d:10.1007_s11009-017-9567-2
    DOI: 10.1007/s11009-017-9567-2
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s11009-017-9567-2
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s11009-017-9567-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Etheridge,Alison, 2002. "A Course in Financial Calculus," Cambridge Books, Cambridge University Press, number 9780521890779, October.
    2. Roberts, G. O. & Tweedie, R. L., 1999. "Bounds on regeneration times and convergence rates for Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 80(2), pages 211-229, April.
    3. Robert B. Lund & Richard L. Tweedie, 1996. "Geometric Convergence Rates for Stochastically Ordered Markov Chains," Mathematics of Operations Research, INFORMS, vol. 21(1), pages 182-194, February.
    4. Etheridge,Alison, 2002. "A Course in Financial Calculus," Cambridge Books, Cambridge University Press, number 9780521813853, October.
    Full references (including those not matched with items on IDEAS)

    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.
    1. Alvaro Cartea & Marcelo Figueroa, 2005. "Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(4), pages 313-335.
    2. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Conţinutul analizei seriilor de timp financiare [The Essentials of the Analysis of Financial Time Series]," MPRA Paper 67175, University Library of Munich, Germany.
    3. Hervé, Loïc & Ledoux, James, 2014. "Approximating Markov chains and V-geometric ergodicity via weak perturbation theory," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 613-638.
    4. Diderik Lund, 2005. "How to analyze the investment–uncertainty relationship in real option models?," Review of Financial Economics, John Wiley & Sons, vol. 14(3-4), pages 311-322.
    5. Hung Nguyen & Uyen Pham & Hien Tran, 2012. "On some claims related to Choquet integral risk measures," Annals of Operations Research, Springer, vol. 195(1), pages 5-31, May.
    6. Roger MERCKEN & Lisette MOTMANS & Ghislain HOUBEN, 2010. "No more replicating portfolios : a simple convex combination to understand the risk-neutral valuation method for the multi-step binomial valuation of a call option," EuroEconomica, Danubius University of Galati, issue 24, pages 64-71, March.
    7. Alexander Kushpel, 2015. "Pricing of high-dimensional options," Papers 1510.07221, arXiv.org.
    8. William T. Shaw & Marcus Schofield, 2015. "A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 975-998, June.
    9. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
    10. Jason S. Anquandah & Leonid V. Bogachev, 2019. "Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance," Risks, MDPI, vol. 7(3), pages 1-41, September.
    11. Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
    12. Chung-Han Hsieh, 2022. "On Robustness of Double Linear Trading with Transaction Costs," Papers 2209.12383, arXiv.org.
    13. Thompson, James R. & Wilson, James R., 2016. "Multifractal detrended fluctuation analysis: Practical applications to financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 126(C), pages 63-88.
    14. Xin-Yu Wang & Chung-Han Hsieh, 2023. "On Robustness of Double Linear Policy with Time-Varying Weights," Papers 2303.10806, arXiv.org.
    15. Martin Kegnenlezom & Patrice Takam Soh & Antoine-Marie Bogso & Yves Emvudu Wono, 2019. "European Option Pricing of electricity under exponential functional of L\'evy processes with Price-Cap principle," Papers 1906.10888, arXiv.org.
    16. Bilgi Yilmaz, 2018. "Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus," Papers 1806.06061, arXiv.org.
    17. William T. Shaw, 2008. "A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback," Papers 0811.0182, arXiv.org, revised Aug 2009.
    18. Jason S. Anquandah & Leonid V. Bogachev, 2019. "Optimal Stopping and Utility in a Simple Model of Unemployment Insurance," Papers 1902.06175, arXiv.org, revised Sep 2019.
    19. Boonman, Hettie J. & Siddiqui, Afzal S., 2017. "Capacity optimization under uncertainty: The impact of operational time lags," European Journal of Operational Research, Elsevier, vol. 262(2), pages 660-672.
    20. Lars Tyge Nielsen, 2023. "A Counterexample in Ito Integration Theory," Papers 2305.10695, arXiv.org.

    Corrections

    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:spr:metcap:v:21:y:2019:i:3:d:10.1007_s11009-017-9567-2. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.