Approximations of non-smooth integral type functionals of one dimensional diffusion processes

被引：12

作者：

Kohatsu-Higa, A. ^{[1
,2
]}

Makhlouf, A. ^{[2
,3
]}

Ngo, H. L. ^{[2
,4
]}

机构：

[1] Ritsumeikan Univ, Kusatsu, Shiga 5258577, Japan

[2] Japan Sci & Technol Agcy, Tokyo, Japan

[3] Univ Tunis El Manar, Tunis, Tunisia

[4] Hanoi Natl Univ Educ, Hanoi, Vietnam

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2014年 / 124卷 / 05期

关键词：

Non-smooth functionals of one-dimensional diffusions; Occupation time; Local time; Approximation; OCCUPATION TIME; DISCRETIZATION; CONVERGENCE; SIMULATION;

D O I：

10.1016/j.spa.2014.01.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we obtain the weak and strong rates of convergence of time integrals of non-smooth functions of a one dimensional diffusion process. We propose the use of the exact simulation scheme to simulate the process at discretization points. In particular, we also present the rates of convergence for the weak and strong errors of approximation for the local time of a one dimensional diffusion process as an application of our method. (c) 2014 Elsevier B.V. All rights reserved.

引用

页码：1881 / 1909

页数：29

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