Issue |
ESAIM: PS
Volume 26, 2022
|
|
---|---|---|
Page(s) | 1 - 25 | |
DOI | https://doi.org/10.1051/ps/2021017 | |
Published online | 13 January 2022 |
Convergence of a particle approximation for the quasi-stationary distribution of a diffusion process: Uniform estimates in a compact soft case
LJLL, Sorbonne Université.
LJLL and LCT, Sorbonne Université.
* Corresponding author: pierre.monmarche@sorbonne-universite.fr
Received:
8
November
2019
Accepted:
17
December
2021
We establish the convergences (with respect to the simulation time t; the number of particles N; the timestep γ) of a Moran/Fleming-Viot type particle scheme toward the quasi-stationary distribution of a diffusion on the d-dimensional torus, killed at a smooth rate. In these conditions, quantitative bounds are obtained that, for each parameter (t →∞, N →∞ or γ → 0) are independent from the two others.
Mathematics Subject Classification: 65C35 / 65C40 / 60J22
Key words: Quasi-stationary distribution / interacting particle system / Wasserstein distance / couplings / propagation of chaos
© The authors. Published by EDP Sciences, SMAI 2022
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