Invariant density estimation for a reflected diffusion using an Euler scheme

Cattiaux Patrick (), León José R. () and Prieur Clémentine ()
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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

Monte Carlo Methods and Applications, 2017, vol. 23, issue 2, 71-88

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].

Keywords: Ergodic reflected diffusion process; Euler scheme rate of convergence for large times; discrete approximation for the invariant measure (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1515/mcma-2017-0104

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