Approximation of occupation time functionals (Q1983631)

The paper studies the strong \(L^2\)-approximation of occupation time functionals under the discrete observations of a \(d\)-dimensional càdlàg process (for \(d \in {\mathbb N}\)). The author essentially extends the appropriate previous results appeared in the literature by providing the upper bounds on the error under weaker assumptions. The proof is based on the regularity for the marginals of the process and is also applied to non-Markovian processes, such as fractional Brownian motion. The results are used to approximate the occupation times and local times. The upper bounds are shown to be sharp up to a log-factor for the case of Brownian motion.