Invariant density estimation for a reflected diffusion using an Euler scheme

Patrick Cattiaux (1) , Clémentine Prieur (2) , Jose Rafael Leon (3)

1 IMT - Institut de Mathématiques de Toulouse UMR5219
2 AIRSEA - Mathematics and computing applied to oceanic and atmospheric flows
3 Escuela de Matematicas [Caracas]

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 Bossy, Gobet and Talay (2004).

Mots clés: discrete approximation for the invariant measure; Euler scheme rate of convergence for large times; ergodic reflected diffusion process

Domaines: Statistiques [math.ST]

Patrick Cattiaux, Clémentine Prieur, Jose Rafael Leon. Invariant density estimation for a reflected diffusion using an Euler scheme. Monte Carlo Methods and Applications, 2017, 23 (2), pp.71-88. ⟨10.1515/mcma-2017-0104⟩. ⟨hal-01683980⟩