ERGODIC APPROXIMATION OF THE DISTRIBUTION OF A STATIONARY DIFFUSION: RATE OF CONVERGENCE

• 成果类型: Article
• 署名作者: Pages, Gilles; Panloup, Fabien
• 署名单位: Sorbonne Universite; Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; Institut National des Sciences Appliquees de Toulouse
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/11-AAP779
• 发表日期: 2012
• 页码: 1059-1100
• 关键词: poisson-equation; recursive computation; invariant measure; driven

摘要

We extend to Lipschitz continuous functionals either of the true paths or of the Euler scheme with decreasing step of a wide class of Brownian ergodic diffusions, the central limit theorems formally established for their marginal empirical measure of these processes (which is classical for the diffusions and more recent as concerns their discretization schemes). We illustrate our results by simulations in connection with barrier option pricing.