Add to ORKGIn this article we approximate the invariant distribution ν of an ergodic Jump Diffusion driven by the sum of a Brownian motion and a Compound Poisson process with sub-Gaussian jumps. We first construct an Euler discretization scheme with decreasing time steps, particularly suitable in cases where the driving Lévy process is a Compound Poisson. This scheme is similar to those introduced by Lamberton and Pagès in [LP02] for a Brownian diffusion and extended by Panloup in [Pan08b] to the Jump Diffusion with Lévy jumps. We obtain a non-asymptotic Gaussian concentration bound for the difference between the invariant distribution and the empirical distribution computed with the scheme of decreasing time step along a appropriate test functions f ...
We give sets of fairly easy conditions under which a multidimensional diffusion with compound-Poisso...
We prove concentration inequalities and associated PAC bounds for continuous- and discrete-time addi...
We consider the deviation function in the ergodic theorem for an ergodic diffusion process (yt) wher...
International audienceIn this article, we approximate the invariant distribution ν of an ergodic Jum...
For an ergodic Brownian diffusion with invariant measure ν, we consider a sequence of empirical dist...
We obtain non-asymptotic Gaussian concentration bounds for the difference between the invariant meas...
We study the distribution of the stochastic integral [integral operator]0t8e-Rt dPt where R is a Bro...
International audienceWe study the behavior of the Gaussian concentration bound (GCB) under stochast...
In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian moti...
14 pagesWe obtain non asymptotic concentration bounds for two kinds of stochastic approximations. We...
We study the behavior of the Gaussian concentration bound (GCB) under stochastic time evolution.More...
We study a nonparametric estimation of Lévy measures for multidimensional jump-diffusion models fro...
In the first part of this thesis, we aim to estimate the invariant distribution of an ergodic proces...
In this paper a concentration inequality is proved for the deviation in the ergodic theorem in the c...
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point proces...
We give sets of fairly easy conditions under which a multidimensional diffusion with compound-Poisso...
We prove concentration inequalities and associated PAC bounds for continuous- and discrete-time addi...
We consider the deviation function in the ergodic theorem for an ergodic diffusion process (yt) wher...
International audienceIn this article, we approximate the invariant distribution ν of an ergodic Jum...
For an ergodic Brownian diffusion with invariant measure ν, we consider a sequence of empirical dist...
We obtain non-asymptotic Gaussian concentration bounds for the difference between the invariant meas...
We study the distribution of the stochastic integral [integral operator]0t8e-Rt dPt where R is a Bro...
International audienceWe study the behavior of the Gaussian concentration bound (GCB) under stochast...
In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian moti...
14 pagesWe obtain non asymptotic concentration bounds for two kinds of stochastic approximations. We...
We study the behavior of the Gaussian concentration bound (GCB) under stochastic time evolution.More...
We study a nonparametric estimation of Lévy measures for multidimensional jump-diffusion models fro...
In the first part of this thesis, we aim to estimate the invariant distribution of an ergodic proces...
In this paper a concentration inequality is proved for the deviation in the ergodic theorem in the c...
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point proces...
We give sets of fairly easy conditions under which a multidimensional diffusion with compound-Poisso...
We prove concentration inequalities and associated PAC bounds for continuous- and discrete-time addi...
We consider the deviation function in the ergodic theorem for an ergodic diffusion process (yt) wher...