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math.PR2026
A note on the -convergence rate of the empirical measure of an ergodic -valued diffusion
Jean-Francois Chassagneux, Gilles Pagès
In this note, we consider a Stochastic Differential Equation under a strong confluence and Lipschitz continuity assumption of the coefficients. For the unique stationary solution,…
math.PR2025
Martingales On A Euclidean Manifold With A Boundary And Reflected BSDES In Non-Convex Domains
Marc Arnaudon, Jean-François Chassagneux, Sergey Nadtochiy +1
The purpose of this paper is twofold. First, we introduce the notion of a -martingale on a Euclidean manifold with a boundary (i.e., the closure of an open connected domain in…
math.PR2025
Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation
Jean-François Chassagneux, Gilles Pagès
We design a fully implementable scheme to compute the invariant distribution of ergodic McKean-Vlasov SDE satisfying a uniform confluence property. Under natural conditions, we pro…