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Invariant density estimation for a reflected diffusion using an Euler scheme

Author

Listed:
  • Cattiaux Patrick

    (Institut de Mathématiques de Toulouse, Université de Toulouse, CNRS UMR 5219, 118 route de Narbonne, 31062Toulousecedex 09, France)

  • León José R.

    (Escuela de Matemática, Facultad de Ciencias, Universidad Central de Venezuela, Av. Los Ilustres,Los Chaguaramos, Caracas 1040, Venezuela)

  • Prieur Clémentine

    (Université Grenoble Alpes, CNRS Laboratoire Jean Kuntzmann, AIRSEA Inria project/team, GrenobleCedex, France)

Abstract

We give an explicit error bound between the invariant density of an elliptic reflected diffusion in a smooth compact domain and the kernel estimator built on the symmetric Euler scheme introduced in [3].

Suggested Citation

  • Cattiaux Patrick & León José R. & Prieur Clémentine, 2017. "Invariant density estimation for a reflected diffusion using an Euler scheme," Monte Carlo Methods and Applications, De Gruyter, vol. 23(2), pages 71-88, June.
    • Handle: RePEc:bpj:mcmeap:v:23:y:2017:i:2:p:71-88:n:2
    DOI: 10.1515/mcma-2017-0104
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    References listed on IDEAS

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    1. Mattingly, J. C. & Stuart, A. M. & Higham, D. J., 2002. "Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise," Stochastic Processes and their Applications, Elsevier, vol. 101(2), pages 185-232, October.
    2. Guyon, Julien, 2006. "Euler scheme and tempered distributions," Stochastic Processes and their Applications, Elsevier, vol. 116(6), pages 877-904, June.
    3. Cattiaux, Patrick & León, José R. & Prieur, Clémentine, 2014. "Estimation for stochastic damping hamiltonian systems under partial observation—I. Invariant density," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1236-1260.
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