Strong approximation of stochastic processes at random times and application to their exact simulation (Q4584675): Difference between revisions

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scientific article; zbMATH DE number 6931420

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English	Strong approximation of stochastic processes at random times and application to their exact simulation	scientific article; zbMATH DE number 6931420

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instance of

scholarly article

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title

Strong approximation of stochastic processes at random times and application to their exact simulation (English)

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zbMATH Open document ID

1394.60062

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DOI

10.1080/17442508.2016.1267179

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4 September 2018

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Mathematics Subject Classification ID

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strong approximation

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Euler schemes

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iterated Brownian motion

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local time

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fractional Brownian motion

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exact simulation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/17442508.2016.1267179

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OpenAlex ID

W2612515786

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cites work

Discretization error in simulation of one-dimensional reflecting Brownian motion

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Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula

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Brownian-time processes: The PDE connection and the half-derivative generator

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Unbiased simulation of stochastic differential equations using parametrix expansions

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Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$

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First time to exit of a continuous Itô process: general moment estimates and ${\mathbf{L}}_{1}$-convergence rate for discrete time approximations

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Brownian motion in a Brownian crack

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Q4279769

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Fractional fields and applications

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Iterating Brownian motions, ad libitum

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Long memory in continuous-time stochastic volatility models

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Probabilistic construction of the solution of some higher order parabolic differential equation

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Multilevel Monte Carlo Path Simulation

0 references

Q4433869

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A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm

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Exact rates of convergence to Brownian local time

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Fractional Brownian Motions, Fractional Noises and Applications

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An Itô type formula for the fractional Brownian motion in Brownian time

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The Skorokhod embedding problem and its offspring

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A note on the sharp $L^p$-convergence rate of upcrossings to the Brownian local time

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Q4226355

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Strong approximation of fractional Brownian motion by moving averages of simple random walks.

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Sitelinks

Mathematics(1 entry)

mardi Publication:4584675

@@ Property / full work available at URL @@
+https://doi.org/10.1080/17442508.2016.1267179
+Normal rank
@@ Property / OpenAlex ID @@
+W2612515786
@@ Property / OpenAlex ID: W2612515786 / rank @@
+Normal rank
@@ Property / cites work @@
+Discretization error in simulation of one-dimensional reflecting Brownian motion
+Normal rank
@@ Property / cites work @@
+Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
+Normal rank
@@ Property / cites work @@
+Brownian-time processes: The PDE connection and the half-derivative generator
+Normal rank
@@ Property / cites work @@
+Unbiased simulation of stochastic differential equations using parametrix expansions
+Normal rank
@@ Property / cites work @@
+Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
+Normal rank
@@ Property / cites work @@
+First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
+Normal rank
@@ Property / cites work @@
+Brownian motion in a Brownian crack
@@ Property / cites work: Brownian motion in a Brownian crack / rank @@
+Normal rank
@@ Property / cites work @@
+Q4279769
@@ Property / cites work: Q4279769 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional fields and applications
@@ Property / cites work: Fractional fields and applications / rank @@
+Normal rank
@@ Property / cites work @@
+Iterating Brownian motions, ad libitum
@@ Property / cites work: Iterating Brownian motions, ad libitum / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Probabilistic construction of the solution of some higher order parabolic differential equation
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433869
@@ Property / cites work: Q4433869 / rank @@
+Normal rank
@@ Property / cites work @@
+A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm
+Normal rank
@@ Property / cites work @@
+Exact rates of convergence to Brownian local time
@@ Property / cites work: Exact rates of convergence to Brownian local time / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+An Itô type formula for the fractional Brownian motion in Brownian time
+Normal rank
@@ Property / cites work @@
+The Skorokhod embedding problem and its offspring
@@ Property / cites work: The Skorokhod embedding problem and its offspring / rank @@
+Normal rank
@@ Property / cites work @@
+A note on the sharp \(L^p\)-convergence rate of upcrossings to the Brownian local time
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong approximation of fractional Brownian motion by moving averages of simple random walks.
+Normal rank