Rates of approximation of nonsmooth integral-type functionals of Markov processes

DOI10.15559/vmsta-2014.12zbMath1349.60126arXiv1503.05370OpenAlexW3106041792MaRDI QIDQ341081

Iurii Ganychenko, Alexei M. Kulik

Publication date: 16 November 2016

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

Full work available at URL: https://arxiv.org/abs/1503.05370

zbMATH Keywords

Markov processintegral functionalapproximation rate

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items

Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise, Fast \(L_2\)-approximation of integral-type functionals of Markov processes, Weak approximation rates for integral functionals of Markov processes, Accuracy of discrete approximation for integral functionals of Markov processes, On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise, Approximation of occupation time functionals

Cites Work

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