On error operators related to the arbitrary functions principle

DOI10.1016/J.JFA.2007.01.012MaRDI QIDQ2460022zbMATH OpenOpenAlexFDO

Authors Nicolas Bouleau

Publication date 14 November 2007

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.6385

zbMATH Keywords

arbitrary functionsDirichlet formsEuler schemeGirsanov theoremmechanical systemRajchman measuresquare field operatorstable convergencestochastic differential equation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic potential theory (60J45) Brownian motion (60J65)

Abstract: The error on a real quantity Y due to the graduation of the measuring instrument may be asymptotically represented, when the graduation is regular and fines down, by a Dirichlet form on R whose square field operator does not depend on the probability law of Y as soon as this law possesses a continuous density. This feature is related to the "arbitrary functions principle" (Poincar'e, Hopf). We give extensions of this property to Rd and to the Wiener space for some approximations of the Brownian motion. This gives new approximations of the Ornstein-Uhlenbeck gradient. These results apply to the discretization of some stochastic differential equations encountered in mechanics.

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Cites work

• Asymptotic error distributions for the Euler method for stochastic differential equations
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• When and how an error yields a Dirichlet form

Cited in

(1)

• Convergence to the uniform distribution of vectors of partial sums modulo one with a common factor

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