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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

Kohatsu-Higa, A.^1,2  Makhlouf, A.^2,3  Ngo, H. L.^2,4 

[1] Ritsumeikan Univ, Kusatsu, Shiga 5258577, Japan

[2] Japan Sci & Technol Agcy, Tokyo, Japan

[3] Univ Tunis El Manar, Tunis, Tunisia

[4] Hanoi Natl Univ Educ, Hanoi, Vietnam

关键词: Non-smooth functionals of one-dimensional diffusions;    Occupation time;    Local time;    Approximation;   

DOI  :  10.1016/j.spa.2014.01.003

来源: Elsevier

【 摘 要 】

In this article, we obtain the weak and strong rates of convergence of time integrals of non-smooth functions of a one dimensional diffusion process. We propose the use of the exact simulation scheme to simulate the process at discretization points. In particular, we also present the rates of convergence for the weak and strong errors of approximation for the local time of a one dimensional diffusion process as an application of our method. (c) 2014 Elsevier B.V. All rights reserved.

【 授权许可】

Free