A Donsker theorem to simulate one-dimensional processes with measurable coefficients

Authors :: Pierre Etore
Antoine Lejay
Probabilistic numerical methods (OMEGA)
Inria Sophia Antipolis - Méditerranée (CRISAM)
Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université Henri Poincaré - Nancy 1 (UHP)-Université Nancy 2-Centre National de la Recherche Scientifique (CNRS)
Institut Élie Cartan de Nancy (IECN)
Institut National de Recherche en Informatique et en Automatique (Inria)-Université Henri Poincaré - Nancy 1 (UHP)-Université Nancy 2-Institut National Polytechnique de Lorraine (INPL)-Centre National de la Recherche Scientifique (CNRS)
Supported by the Groupe de Recherche MOMAS
Source :: ESAIM: Probability and Statistics, ESAIM: Probability and Statistics, 2007, 11, pp.301-326. ⟨10.1051/ps:2007021⟩, ESAIM: Probability and Statistics, EDP Sciences, 2007, 11, pp.301-326. ⟨10.1051/ps:2007021⟩
Publication Year :: 2007
Publisher :: HAL CCSD, 2007.
Abstract: International audience; In this paper, we prove a Donker theorem for one-dimensional processes generated by an operator with measurable coefficients. We construct a random walk on any grid on the state space, using the transition probabilities of the approximated process, and the conditional average times it spends on each cell of the grid. Indeed we can compute these quantities by solving some suitable elliptic PDE problems.

Language :: English
ISSN :: 12928100 and 12623318
Database :: OpenAIRE
Journal :: ESAIM: Probability and Statistics, ESAIM: Probability and Statistics, 2007, 11, pp.301-326. ⟨10.1051/ps:2007021⟩, ESAIM: Probability and Statistics, EDP Sciences, 2007, 11, pp.301-326. ⟨10.1051/ps:2007021⟩
Accession number :: edsair.doi.dedup.....2af0655ffbbd378099be792e14683856

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