Approximation of occupation time functionals
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Publication:1983631
DOI10.3150/21-BEJ1328zbMath1479.60159arXiv1706.03418OpenAlexW3193776143MaRDI QIDQ1983631
Publication date: 10 September 2021
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.03418
upper boundsfractional Brownian motionheat kernel boundslocal timeintegral functionaloccupation time
Fractional processes, including fractional Brownian motion (60G22) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)
Related Items (8)
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 ⋮ Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models ⋮ Central limit theorems for discretized occupation time functionals ⋮ 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 ⋮ Approximation of fractional local times: zero energy and derivatives ⋮ Approximation of SDEs: a stochastic sewing approach
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