On asymptotic errors in discretization of processes

DOI10.1214/aop/1048516529zbMath1058.60020OpenAlexW1982671862MaRDI QIDQ1394519

Jean Mémin, Adam Jakubowski, Jean Jacod

Publication date: 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1048516529

zbMATH Keywords

rates of convergenceSkorokhod topologyLévy processItô's formulasememartingale

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic analysis (60H99)

Related Items (8)

A new factorization property of the selfdecomposable probability measures. ⋮ Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Approximations of non-smooth integral type functionals of one dimensional diffusion processes ⋮ Central limit theorems for discretized occupation time functionals ⋮ Implementable coupling of Lévy process and Brownian motion ⋮ Asymptotic properties of realized power variations and related functionals of semimartingales ⋮ Asymptotic properties of power variations of Lévy processes ⋮ Discretization of the Lamperti representation of a positive self-similar Markov process

Cites Work

• Relations between the \(\epsilon\)-selfdecomposable and selfdecomposable measures
• Asymptotic error distributions for the Euler method for stochastic differential equations
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