On sampling of stationary increment processes
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Abstract: Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(epsilon)^{-1} at which a stochastic process with stationary increments xi should be sampled, for the sampled process xi(lfloorcdot /q(epsilon)
floor q(epsilon)) to deviate from xi by at most epsilon, with a given probability, asymptotically as epsilon downarrow0. The canonical application is to discretization errors in computer simulation of stochastic processes.
A stochastic process \(\xi\) with stationary increments is considered. Under some conditions the author finds the rate at which \(\xi\) should be sampled, for the sampled process to deviate from \(\xi\) by at most \(\varepsilon ,\) with a given probability. Conditions and applications in computer simulation of stochastic processes are discussed. Two examples for \(\alpha\)-stable motions are given.
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Cited in
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