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UID:7402@i2m.univ-amu.fr
DTSTART;TZID=Europe/Paris:20180126T110000
DTEND;TZID=Europe/Paris:20180126T120000
DTSTAMP:20241120T203942Z
URL:https://www.i2m.univ-amu.fr/evenements/a-non-stationary-ergodic-theore
 m-with-applications-to-averaging-bob-pepin/
SUMMARY:Bob Pepin (University of Luxembourg): A non-stationary ergodic theo
 rem with applications to averaging - Bob Pepin
DESCRIPTION:Bob Pepin: The $L^2$ distance between an additive functional of
  a Markov diffusion process and its expectation is expressed in terms of t
 he gradient of the semigroup or evolution operator. The result holds witho
 ut any stationarity assumptions and in particular for SDEs with time-depen
 dent coefficients. As an application\, we compute the exact expression for
  the $L^2$ distance between a linear SDE with two time scales and the corr
 esponding time-averaged process. The proof of the ergodic theorem is based
  on a short martingale argument that readily extends to pathwise estimates
  and other classes of stochastic processes.\n\nhttp://wwwfr.uni.lu/recherc
 he/fstc/mathematics_research_unit/people/bob_pepin
ATTACH;FMTTYPE=image/jpeg:https://www.i2m.univ-amu.fr/wp-content/uploads/2
 020/01/Bob_Pepin.jpg
CATEGORIES:Séminaire,Probabilités
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