Accuracy of discrete approximation for integral functionals of Markov processes

DOI10.15559/15-VMSTA46zbMath1352.60108arXiv1507.08983OpenAlexW2194719728MaRDI QIDQ340801

Iurii Ganychenko, Alexei M. Kulik, Viktoria P. Knopova

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.08983

zbMATH Keywords

stochastic differential equationMarkov processintegral functionallocally stable processoccupation time optionstrong approximationsweak approximations

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stable stochastic processes (60G52) Local time and additive functionals (60J55)

Related Items (4)

Central limit theorems for discretized occupation time functionals ⋮ Approximation of occupation time functionals ⋮ Approximation in law of locally \(\alpha \)-stable Lévy-type processes by non-linear regressions ⋮ Heat kernel of anisotropic nonlocal operators

Cites Work

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