Central limit theorems for additive functionals of ergodic Markov diffusions processes

By Patrick Cattiaux, Djalil CHAFAÏ, Arnaud Guillin. 2011

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We revisit functional central limit theorems for additive functionals of ergodic Markov diffusion processes. Translated in the language of partial differential equations of evolution, they appear as diffusion limits in the asymptotic analysis of Fokker-Planck type equations. We focus on the square integrable framework, and we provide tractable conditions on the infinitesimal generator, including degenerate or anomalously slow diffusions. We take advantage on recent developments in the study of the trend to the equilibrium of ergodic diffusions. We discuss examples and formulate open problems.

Subfields: Finance, Mathematical Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/732ac4f2783c395920bc2497a04748d6b2eac582

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Citations in the corpus

• Diffusion approximation for fully coupled stochastic differential equations (2020, methodology): “[9, 14, 38, 49]), spectral methods, averaging principle and homogenization for multi-scale systems (see e.”
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