Approximation of occupation time functionals

DOI10.3150/21-BEJ1328zbMath1479.60159arXiv1706.03418OpenAlexW3193776143MaRDI QIDQ1983631

Randolf Altmeyer

Publication date: 10 September 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.03418

zbMATH Keywords

upper boundsfractional Brownian motionheat kernel boundslocal timeintegral functionaloccupation time

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)

Related Items (8)

Optimal estimation of the supremum and occupation times of a self-similar Lévy process ⋮ Optimal \(L^2\)-approximation of occupation and local times for symmetric stable processes ⋮ Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models ⋮ Central limit theorems for discretized occupation time functionals ⋮ Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise ⋮ Quantifying a convergence theorem of Gyöngy and Krylov ⋮ Approximation of fractional local times: zero energy and derivatives ⋮ Approximation of SDEs: a stochastic sewing approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fast \(L_2\)-approximation of integral-type 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
• Approximations of non-smooth integral type functionals of one dimensional diffusion processes
• Discretization of processes.
• Sharp estimates for the convergence of the density of the Euler scheme in small time
• Occupation densities
• Rates of convergence to the local time of a diffusion
• Average-case analysis of numerical problems
• Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise
• Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
• On the discrete approximation of occupation time of diffusion processes
• Approximation of fractional local times: zero energy and derivatives
• Properties of local-nondeterminism of Gaussian and stable random fields and their applications
• \(L^p\) moduli of continuity of Gaussian processes and local times of symmetric Lévy processes
• On estimating the diffusion coefficient from discrete observations
• An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
• Transition probabilities of Lévy‐type processes: Parametrix construction
• Financial Modelling with Jump Processes
• Designs for Regression Problems with Correlated Errors
• Local Times and Sample Function Properties of Stationary Gaussian Processes

This page was built for publication: Approximation of occupation time functionals