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- W2766902156 abstract "The $L^2$ distance between an additive functional of a Markov diffusion process and its expectation is expressed in terms of the gradient of the semigroup or evolution operator. The result holds without any stationarity assumptions and in particular for SDEs with time-dependent coefficients. As an application, we compute the exact expression for the $L^2$ distance between a linear SDE with two time scales and the corresponding 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." @default.
- W2766902156 created "2017-11-10" @default.
- W2766902156 creator A5083621039 @default.
- W2766902156 date "2017-10-20" @default.
- W2766902156 modified "2023-09-27" @default.
- W2766902156 title "A Non-Stationary Ergodic Theorem with Applications to Averaging" @default.
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