STATISTICS ON CROSSINGS OF DISCRETIZED DIFFUSIONS AND LOCAL TIME

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:39

Article

关键词: DIFFUSION;    LOCAL TIME;    CROSSING;    ESTIMATION;   

DOI  :  10.1016/0304-4149(91)90038-E

来源: Elsevier

【 摘 要 】

Let X-DELTABAR be the process obtained by linear interpolation from discrete observations of a diffusion X. In the first part of this paper we study the statistical properties of the observations sgn X-DELTABAR. In the second part we prove that the number of zero-crossings of X-DELTABAR, suitably normalized, converges in (L2-norm) to the zero local time of X.

【 授权许可】

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