On the discrete approximation of occupation time of diffusion processes
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Publication:1952229
DOI10.1214/11-EJS645zbMath1271.60086MaRDI QIDQ1952229
Hoang-Long Ngo, Shigeyoshi Ogawa
Publication date: 28 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1319028572
Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)
Related Items (9)
Optimal estimation of the supremum and occupation times of a self-similar Lévy process ⋮ Optimal \(L^2\)-approximation of occupation and local times for symmetric stable processes ⋮ A discrete-time Clark-Ocone formula and its application to an error analysis ⋮ Approximations of non-smooth integral type functionals of one dimensional diffusion processes ⋮ Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise ⋮ Quantifying a convergence theorem of Gyöngy and Krylov ⋮ Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies ⋮ Approximation of occupation time functionals ⋮ Statistical estimation of the oscillating Brownian motion
Cites Work
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- Absolute continuity for some one-dimensional processes
- Rates of strong uniform convergence of the \(k_T\)-occupation time density estimator
- Approximation des trajectoires et temps local des diffusions. (Approximation of trajectories and local times of diffusions)
- Rates of convergence to the local time of a diffusion
- Edokko options: a new framework of barrier options
- Asymptotic properties of realized power variations and related functionals of semimartingales
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