Gaussian approximations of small noise diffusions in Kullback–Leibler divergence
نویسندگان
چکیده
منابع مشابه
Gaussian Approximations of Small Noise Diffusions in Kullback-leibler Divergence
Abstract. We study Gaussian approximations to the distribution of a diffusion. The approximations are easy to compute: they are defined by two simple ordinary differential equations for the mean and the covariance. Time correlations can also be computed via solution of a linear stochastic differential equation. We show, using the Kullback-Leibler divergence, that the approximations are accurate...
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We study Gaussian approximations to the distribution of a diffusion. The approximations are easy to compute: they are defined by two simple ordinary differential equations for the mean and the covariance. Time correlations can also be computed via solution of a linear stochastic differential equation. We show, using the Kullback–Leibler divergence, that the approximations are accurate in the sm...
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ژورنال
عنوان ژورنال: Communications in Mathematical Sciences
سال: 2017
ISSN: 1539-6746,1945-0796
DOI: 10.4310/cms.2017.v15.n7.a13