Abstract
We consider a stochastic differential equation and its Euler-Maruyama (EM) scheme, under some appropriate conditions, they both admit a unique invariant measure, denoted by π and respectively (η is the step size of the EM scheme). We construct an empirical measure of the EM scheme as a statistic of , and use Stein’s method developed in Fang, Shao and Xu (Probab. Theory Related Fields 174 (2019) 945–979) to prove a central limit theorem of . The proof of the self-normalized Cramér-type moderate deviation (SNCMD) is based on a standard decomposition on Markov chain, splitting into a martingale difference series sum and a negligible remainder . We handle by the time-change technique for martingale, while prove that is exponentially negligible by concentration inequalities, which have their independent interest. Moreover, we show that SNCMD holds for , which has the same order as that of the classical result in Shao (J. Theoret. Probab. 12 (1999) 385–398), Jing, Shao and Wang (Ann. Probab. 31 (2003) 2167–2215).
Funding Statement
LX is supported in part by NSFC grant 12071499, Macao S.A.R grant FDCT 0090/2019/A2 and University of Macau grant MYRG2018-00133-FST.
Acknowledgements
We would like to gratefully thank Professors Fuqing Gao and Feng-Yu Wang for very helpful discussions. We also thank two anonymous referees and the AE for their valuable comments which have improved the manuscript considerably.
Lihu Xu as the corresponding author.
Citation
Jianya Lu. Yuzhen Tan. Lihu Xu. "Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme." Bernoulli 28 (2) 937 - 964, May 2022. https://doi.org/10.3150/21-BEJ1372
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