Invariant density estimation for a reflected diffusion using an Euler scheme

Patrick Cattiaux 1 Clémentine Prieur 2 Jose R. Leon 3
2 AIRSEA - Mathematics and computing applied to oceanic and atmospheric flows
Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology, UGA - Université Grenoble Alpes, LJK - Laboratoire Jean Kuntzmann, Inria Grenoble - Rhône-Alpes
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 Bossy, Gobet and Talay (2004).
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Patrick Cattiaux, Clémentine Prieur, Jose R. Leon. Invariant density estimation for a reflected diffusion using an Euler scheme. Monte Carlo Methods and Applications, De Gruyter, 2017, 23 (2), pp.71-88. ⟨10.1515/mcma-2017-0104⟩. ⟨hal-01683980⟩

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