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4 papers · 2 filters
Computable Convergence Rates for Subgeometrically Ergodic Markov Chains
Randal Douc, Eric Moulines, Philippe Soulier
In this paper, we give quantitative bounds on the -total variation distance from convergence of an Harris recurrent Markov chain on an arbitrary under drift and minorisation con…
Deviations bounds and conditional principles for thin sets
Patrick Cattiaux, Nathael Gozlan
The aim of this paper is to use non asymptotic bounds for the probability of rare events in the Sanov theorem, in order to study the asymptotics in conditional limit theorems (Gibb…
A regression-based Monte Carlo method to solve backward stochastic differential equations
Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, wh…
Concentration for independent random variables with heavy tails
Franck Barthe, Patrick Cattiaux, Cyril Roberto
If a random variable is not exponentially integrable, it is known that no concentration inequality holds for an infinite sequence of independent copies. Under mild conditions, we e…