Wasserstein distance estimates for the distributions of numerical approximations to ergodic stochastic differential equations.
Jesús María Sanz-SernaKonstantinos C. ZygalakisPublished in: CoRR (2021)
Keyphrases
- stochastic differential equations
- maximum a posteriori estimation
- brownian motion
- kullback leibler divergence
- probability distribution
- additive gaussian noise
- distance measure
- gaussian distribution
- heavy tailed
- confidence intervals
- fractional brownian motion
- multiscale
- diffusion process
- stochastic process
- random fields
- gaussian mixture model
- random variables
- markov chain
- maximum likelihood
- hidden markov models