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Pré-Publication, Document De Travail Année : 2023

Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)

Résumé

In this paper, we establish an abstract framework for the approximation of the invariant probability measure for a Markov semigroup. Following Pagès and Panloup [40] we use an Euler scheme with decreasing step (unadjusted Langevin algorithm). Under some contraction property with exponential rate and some regularization properties, we give an estimate of the error in total variation distance. This abstract framework covers the main results in [40] and [14]. As a specific application we study the convergence in total variation distance to the invariant measure for jump type equations. The main technical difficulty consists in proving the regularzation properties-this is done under an ellipticity condition, using Malliavin calculus for jump processes.
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Dates et versions

hal-04112474 , version 1 (31-05-2023)

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Vlad Bally, Yifeng Qin. Approximation for the invariant measure with applications for jump processes (convergence in total variation distance). 2023. ⟨hal-04112474⟩
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