Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Hölder classes

We study the problem of the nonparametric estimation for the density of the stationary distribution of a ‐dimensional stochastic differential equation . From the continuous observation of the sampling path on , we study the estimation of as goes to infinity. For , we characterize the minimax rate for the ‐risk in pointwise estimation over a class of anisotropic Hölder functions with regularity . For , our finding is that, having ordered the smoothness such that , the minimax rate depends on whether or . In the first case, this rate is , and in the second case, it is , where is an explicit exponent dependent on the dimension and , the harmonic mean of smoothness over the directions after excluding and , the smallest ones. We also demonstrate that kernel‐based estimators achieve the optimal minimax rate. Furthermore, we propose an adaptive procedure for both integrated and pointwise risk. In the two‐dimensional case, we show that kernel density estimators achieve the rate , which is optimal in the minimax sense. Finally we illustrate the validity of our theoretical findings by proposing numerical results.