KMS Of Academy of mathematics and systems sciences, CAS
| CLT for approximating ergodic limit of SPDEs via a full discretization | |
| Chen, Chuchu; Dang, Tonghe1; Hong, Jialin; Zhou, Tau | |
| 2023-03-01 | |
| Source Publication | STOCHASTIC PROCESSES AND THEIR APPLICATIONS
 |
| ISSN | 0304-4149 |
| Volume | 157Pages:1-41 |
| Abstract | In order to characterize quantitatively the fluctuations between the ergodic limit and the time -averaging estimator, we establish a central limit theorem for a full discretization of the parabolic SPDE, which shows that the normalized time-averaging estimator converges weakly to a normal distribution as the time stepsize tends to 0. A key ingredient in the proof is to extract an appropriate martingale difference series sum from the normalized time-averaging estimator via the Poisson equation, so that convergences of such a sum and the remainder are well balanced.(c) 2022 Elsevier B.V. All rights reserved. |
| Keyword | Central limit theorem Stochastic partial differential equation Full discretization Poisson equation Ergodic limit |
| DOI | 10.1016/j.spa.2022.11.015 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National key R&D Program of China ; National Natural Science Foundation of China ; Youth Innovation Promotion Association CAS, China ; [2020YFA0713701] ; [11971470] ; [11871068] ; [12031020] ; [12022118] |
| WOS Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000899376200001 |
| Publisher | ELSEVIER |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/60513 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Dang, Tonghe |
| Affiliation | 1.Chinese Acad Sci, ICMSEC, LSEC, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China |
| Recommended Citation GB/T 7714 | Chen, Chuchu,Dang, Tonghe,Hong, Jialin,et al. CLT for approximating ergodic limit of SPDEs via a full discretization[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS,2023,157:1-41. |
| APA | Chen, Chuchu,Dang, Tonghe,Hong, Jialin,&Zhou, Tau.(2023).CLT for approximating ergodic limit of SPDEs via a full discretization.STOCHASTIC PROCESSES AND THEIR APPLICATIONS,157,1-41. |
| MLA | Chen, Chuchu,et al."CLT for approximating ergodic limit of SPDEs via a full discretization".STOCHASTIC PROCESSES AND THEIR APPLICATIONS 157(2023):1-41. |
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