Open Access
November 1997 Convergence rates for annealing diffusion processes
David Márquez
Ann. Appl. Probab. 7(4): 1118-1139 (November 1997). DOI: 10.1214/aoap/1043862427

Abstract

We consider the annealing diffusion process and investigate convergence rates. Namely, the diffusion dXt=V(Xt)dx+σ(t)dBt, where (Bt)t0 is the d-dimensional Brownian motion and σ(t) decreases to zero, we prove a large deviation principle for (V(Xt)) and weak convergence of (σ2(t)(V(Xt)infV)).

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David Márquez. "Convergence rates for annealing diffusion processes." Ann. Appl. Probab. 7 (4) 1118 - 1139, November 1997. https://doi.org/10.1214/aoap/1043862427

Information

Published: November 1997
First available in Project Euclid: 29 January 2003

zbMATH: 0949.62072
MathSciNet: MR1484800
Digital Object Identifier: 10.1214/aoap/1043862427

Subjects:
Primary: 60F05 , 60F10 , 60J60 , 62L20

Keywords: diffusion , large deviations , simulated annealing , weak convergence

Rights: Copyright © 1997 Institute of Mathematical Statistics

Vol.7 • No. 4 • November 1997
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