On the discrete approximation of occupation time of diffusion processes

DOI10.1214/11-EJS645MaRDI QIDQ1952229zbMATH OpenFDO

Authors H. L. Ngo, Shigeyoshi Ogawa

Publication date 28 May 2013

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1319028572

zbMATH Keywords

diffusiondiscrete approximationlocal timeoccupation timestable convergencetightness

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55) Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Approximation of occupation time functionals
• Volatility occupation times
• Rates of convergence to the local time of a diffusion
• Estimators of diffusions with randomly spaced discrete observations: a general theory
• Estimation of diffusion parameters for discretely observed diffusion processes

Cites work

• Absolute continuity for some one-dimensional processes
• Approximation des trajectoires et temps local des diffusions. (Approximation of trajectories and local times of diffusions)
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Edokko options: a new framework of barrier options
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Malliavin calculus and its applications
• Rates of convergence to the local time of a diffusion
• Rates of strong uniform convergence of the \(k_T\)-occupation time density estimator

Cited in

(14)

• Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
• Statistical estimation of the oscillating Brownian motion
• Approximation of occupation time functionals
• 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
• An occupation time related potential measure for diffusion processes
• A discrete-time Clark-Ocone formula and its application to an error analysis
• scientific article; zbMATH DE number 6611155 (Why is no real title available?)
• Approximations of non-smooth integral type functionals of one dimensional diffusion processes
• Equations for probability distributions of local occupation time on a surface for diffusion processes and control problems
• 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
• Environment reconstruction for a class of diffusions
• On the occupation time on the half line of pinned diffusion processes

This page was built for publication: On the discrete approximation of occupation time of diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1952229)