25 citations · 28 across the 3 of their papers we have counts for
5 papers · 1 filter
Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
Karine Bertin, Nicolas Klutchnikoff, Fabien Panloup +1
We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds f…
Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift
Fabien Panloup, Alexandre Richard
The convergence to the stationary regime is studied for Stochastic Differential Equations driven by an additive Gaussian noise and evolving in a semi-contractive environment, i.e.…
Weighted Multilevel Langevin Simulation of Invariant Measures
Gilles Pagès, Fabien Panloup
We investigate a weighted Multilevel Richardson-Romberg extrapolation for the ergodic approximation of invariant distributions of diffusions adapted from the one introduced in~[Lem…
Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
Fabien Panloup
We study the rate of convergence of some recursive procedures based on some "exact" or "approximate" Euler schemes which converge to the invariant measure of an ergodic SDE driven…
Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
Fabien Panloup
We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. d…