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Journal articles
Ergodic approximation of the distribution of a stationary diffusion : rate of convergence
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.
Cited literature [29 references]
https://hal.archives-ouvertes.fr/hal-00512722
Contributor : Gilles Pagès <>
Submitted on : Tuesday, August 31, 2010 - 1:56:53 PM
Last modification on : Monday, December 14, 2020 - 9:45:04 AM
Long-term archiving on: : Wednesday, December 1, 2010 - 2:45:43 AM
Contributor : Gilles Pagès <>
Submitted on : Tuesday, August 31, 2010 - 1:56:53 PM
Last modification on : Monday, December 14, 2020 - 9:45:04 AM
Long-term archiving on: : Wednesday, December 1, 2010 - 2:45:43 AM
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