Ergodic approximation of the distribution of a stationary diffusion : rate of convergence

Gilles Pagès; Fabien Panloup

doi:10.1214/11-aap779

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arXiv · 1009.0131

Ergodic approximation of the distribution of a stationary diffusion : rate of convergence

Gilles Pagès·Fabien Panloup

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Abstract

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.

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Gilles Pagès, Fabien Panloup. 2010-09-01. Ergodic approximation of the distribution of a stationary diffusion : rate of convergence. https://doi.org/10.1214/11-aap779

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