Accuracy of discrete approximation for integral functionals of Markov processes

DOI10.15559/15-VMSTA46MaRDI QIDQ340801zbMATH OpenOpenAlexFDO

Authors Iu. Ganychenko, A. M. Kulik, V. Knopova

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.08983

zbMATH Keywords

Markov processstochastic differential equationintegral functionallocally stable processoccupation time optionstrong approximationsweak approximations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Local time and additive functionals (60J55)

Abstract: The article is devoted to the estimation of the rate of convergence of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density which is differentiable in $t$ and the derivative has an integrable upper bound of a certain type, we derive the accuracy rates for strong and weak approximations of the functionals by Riemannian sums. Some examples are provided.

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• Markov chain approximations for transition densities of Lévy processes

Cites work

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Cited in

(10)

• Approximation of occupation time functionals
• Hyperaccurate bounds in discrete-state Markovian systems
• Accuracy of parameter measurement in Markov systems
• Heat kernel of anisotropic nonlocal operators
• Approximation of the distribution of a stationary Markov process with application to option pricing
• Fast L₂-approximation of integral-type functionals of Markov processes
• Weak approximation rates for integral functionals of Markov processes
• Rates of approximation of nonsmooth integral-type functionals of Markov processes
• Central limit theorems for discretized occupation time functionals
• Approximation in law of locally \(\alpha \)-stable Lévy-type processes by non-linear regressions

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