The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 29, Number 2 (2019), 1127-1187.
On one-dimensional Riccati diffusions
A. N. Bishop, P. Del Moral, K. Kamatani, and B. Rémillard
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Abstract
This article is concerned with the fluctuation analysis and the stability properties of a class of one-dimensional Riccati diffusions. These one-dimensional stochastic differential equations exhibit a quadratic drift function and a non-Lipschitz continuous diffusion function. We present a novel approach, combining tangent process techniques, Feynman–Kac path integration and exponential change of measures, to derive sharp exponential decays to equilibrium. We also provide uniform estimates with respect to the time horizon, quantifying with some precision the fluctuations of these diffusions around a limiting deterministic Riccati differential equation. These results provide a stronger and almost sure version of the conventional central limit theorem. We illustrate these results in the context of ensemble Kalman–Bucy filtering. To the best of our knowledge, the exponential stability and the fluctuation analysis developed in this work are the first results of this kind for this class of nonlinear diffusions.
Article information
Source
Ann. Appl. Probab., Volume 29, Number 2 (2019), 1127-1187.
Dates
Received: November 2017
Revised: June 2018
First available in Project Euclid: 24 January 2019
Permanent link to this document
https://projecteuclid.org/euclid.aoap/1548298938
Digital Object Identifier
doi:10.1214/18-AAP1431
Mathematical Reviews number (MathSciNet)
MR3910025
Subjects
Primary: 60H10: Stochastic ordinary differential equations [See also 34F05] 60G52: Stable processes 93E11: Filtering [See also 60G35] 60G99: None of the above, but in this section
Keywords
Ensemble Kalman filters quadratic stochastic differential equations Ricatti diffusions uniform fluctuation estimates uniform stability estimates
Citation
Bishop, A. N.; Del Moral, P.; Kamatani, K.; Rémillard, B. On one-dimensional Riccati diffusions. Ann. Appl. Probab. 29 (2019), no. 2, 1127--1187. doi:10.1214/18-AAP1431. https://projecteuclid.org/euclid.aoap/1548298938
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