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Pré-Publication, Document De Travail Année : 2022

A Berry-Esseen theorem for continuous-time Markov processes conditioned not to be absorbed

Résumé

This paper aims to establish a Berry-Esseen-like theorem for Markov processes conditioned not to be absorbed. That is the Kolmogorov distance between the conditional distribution of the renormalized centered empirical mean and a Gaussian law decays as 1/ $\sqrt{t}$. The main assumption is that a given Doob h-transform of the sub-Markovian semigroup associated to the absorbed process is exponentially ergodic with respect to a $\psi$ -distance.
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Dates et versions

hal-03599148 , version 1 (06-03-2022)
hal-03599148 , version 2 (31-03-2022)
hal-03599148 , version 3 (30-03-2023)

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William Oçafrain. A Berry-Esseen theorem for continuous-time Markov processes conditioned not to be absorbed. 2022. ⟨hal-03599148v1⟩
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