Quantitative concentration inequalities for empirical measures on non-compact spaces
Probability
2013-09-19 v1
Abstract
We establish some quantitative concentration estimates for the empirical measure of many independent variables, in transportation distances. As an application, we provide some error bounds for particle simulations in a model mean field problem. The tools include coupling arguments, as well as regularity and moments estimates for solutions of certain diffusive partial differential equations.
Cite
@article{arxiv.math/0503123,
title = {Quantitative concentration inequalities for empirical measures on non-compact spaces},
author = {Francois Bolley and Arnaud Guillin and Cedric Villani},
journal= {arXiv preprint arXiv:math/0503123},
year = {2013}
}