Approximation of Markov semigroups in total variation distance

Abstract : The first goal of this paper is to prove that, regularization properties of a Markov semigroup enable to prove convergence in total variation distance for approximation schemes for the semigroup. Moreover, using an interpolation argument we obtain estimates for the error in distribution sense (at the level of the densities of the semigroup with respect to the Lebesgue measure). In a second step, we build an abstract Malliavin calculus based on a splitting procedure, which turns out to be the suited instrument in order to prove the above mentioned regularization properties. Finally, we use these results in order to estimate the error in total variation distance for the Ninomiya Victoir scheme (which is an approximation scheme, of order 2, for diffusion processes).
Document type :
Journal articles
Complete list of metadatas

Cited literature [33 references]  Display  Hide  Download

https://hal-upec-upem.archives-ouvertes.fr/hal-01110015
Contributor : Vlad Bally <>
Submitted on : Tuesday, January 27, 2015 - 12:29:55 PM
Last modification on : Friday, October 4, 2019 - 1:35:12 AM

Files

Approximation_Markov_semigroup...
Files produced by the author(s)

Identifiers

  • HAL Id : hal-01110015, version 1

Citation

Vlad Bally, Clément Rey. Approximation of Markov semigroups in total variation distance. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2016, 21 (12). ⟨hal-01110015⟩

Share

Metrics

Record views

954

Files downloads

377