4 papers
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,…
Convergence rate of the occupation measure of classes of ergodic processes toward their invariant distribution in mean Wasserstein distance
Gilles Pagès, Fabien Panloup
N. Fournier and A. Guillin obtained in their 2015 PTRF paper some bounds of the L^p-mean rate of convergence in Wasserstein distance of empirical distributions for a class of stati…
Kolmogorov-Smirnov distance and discrepancies versus Wasserstein distances
Gilles Pagès, Fabien Panloup
We establish inequalities that compare the p-Wasserstein distance to distances which are built as suprema of box measures. More precisely, when the measures are supported on $[0,1]…
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…