Statistical convergence of Markov experiments to diffusion limits

DOI10.3150/12-BEJ500zbMath1321.60010arXiv1201.6307MaRDI QIDQ2448706

Enno Mammen, Jeannette H. C. Woerner, Valentin Konakov

Publication date: 5 May 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.6307

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Convergence of probability measures (60B10) Markov processes (60J99)

Related Items (2)

Hellinger and total variation distance in approximating Lévy driven SDEs ⋮ The deficiency introduced by resampling

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