























The paper considers an Euler discretization based numerical scheme for approximating functionals of invariant distribution of an ergodic diffusion. Convergence of the numerical scheme is shown for suitably chosen discretization step, and a thorough error analysis is conducted by proving central limit theorem and moderate deviation principle for the error term. The paper is a first step in understanding efficiency of discretization based numerical schemes for estimating invariant distributions, which is comparatively much less studied than the schemes used for generating approximate trajectories of diffusions over finite time intervals. The potential applications of these results also extend to other areas including mathematical physics, parameter inference of ergodic diffusions and analysis of multiscale dynamical systems with averaging.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。