The Library
The strong weak convergence of the quasi-EA
Tools
Tools
Tools
Peluchetti, Stefano, Roberts, Gareth O. and Casella, Bruno (2013) The strong weak convergence of the quasi-EA. Queueing Systems, Volume 73 (Number 4). pp. 447-460. doi:10.1007/s11134-013-9351-0 ISSN 0257-0130.
|
Text
WRAP_Pelunchetti_10.1007_s11134-013-9351-0.pdf - Published Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (475Kb) | Preview |
Official URL: http://dx.doi.org/10.1007/s11134-013-9351-0
Abstract
In this paper, we investigate the convergence of a novel simulation scheme to the target diffusion process. This scheme, the Quasi-EA, is closely related to the Exact Algorithm (EA) for diffusion processes, as it is obtained by neglecting the rejection step in EA. We prove the existence of a myopic coupling between the Quasi-EA and the diffusion. Moreover, an upper bound for the coupling probability is given. Consequently we establish the convergence of the Quasi-EA to the diffusion with respect to the total variation distance.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics | ||||
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
| Library of Congress Subject Headings (LCSH): | Stochastic differential equations, Differential equations, Brownian motion processes | ||||
| Journal or Publication Title: | Queueing Systems | ||||
| Publisher: | Spring New York LLC | ||||
| ISSN: | 0257-0130 | ||||
| Official Date: | April 2013 | ||||
| Dates: |
|
||||
| Volume: | Volume 73 | ||||
| Number: | Number 4 | ||||
| Page Range: | pp. 447-460 | ||||
| DOI: | 10.1007/s11134-013-9351-0 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Open Access (Creative Commons) | ||||
| Date of first compliant deposit: | 24 December 2015 | ||||
| Date of first compliant Open Access: | 24 December 2015 | ||||
| Funder: | Engineering and Physical Sciences Research Council (EPSRC) | ||||
| Grant number: | EP/D505607/2, EP/20620/01, EP/S61577/01 (EPSRC) | ||||
| Version or Related Resource: | Peluchetti, S., Roberts, G.O. and Casella, B. (2008). The strong weak convergence of the quasi-EA. [Coventry] : University of Warwick. Centre for Research in Statistical Methodology. (Working papers, no.08-18). http://wrap.warwick.ac.uk/id/eprint/35491 | ||||
| Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
