Approximations of non-smooth integral type functionals of one dimensional diffusion processes

DOI10.1016/j.spa.2014.01.003zbMath1297.65012OpenAlexW2058906847MaRDI QIDQ401462

Hoang-Long Ngo, Azmi Makhlouf, Arturo Kohatsu-Higa

Publication date: 27 August 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2014.01.003

zbMATH Keywords

convergenceapproximationdiffusion processlocal timeoccupation timenon-smooth functionals of one-dimensional diffusions

Mathematics Subject Classification ID

Related Items (13)

Optimal \(L^2\)-approximation of occupation and local times for symmetric stable processes ⋮ 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 ⋮ Rates of approximation of nonsmooth integral-type functionals of Markov processes ⋮ Approximation for non-smooth functionals of stochastic differential equations with irregular drift ⋮ Central limit theorems for discretized occupation time functionals ⋮ Quantifying a convergence theorem of Gyöngy and Krylov ⋮ Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies ⋮ On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise ⋮ Approximation of occupation time functionals ⋮ Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients ⋮ Approximation of SDEs: a stochastic sewing approach

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