Central limit theorems for discretized occupation time functionals

DOI10.1016/J.SPA.2022.11.006zbMATH Open1504.60031arXiv1909.00474OpenAlexW2971582887WikidataQ123026044 ScholiaQ123026044MaRDI QIDQ2680392FDOQ2680392

Authors: Randolf Altmeyer 

Publication date: 2 January 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: The approximation of integral type functionals is studied for discrete observations of a continuous It^o semimartingale. Based on novel approximations in the Fourier domain, central limit theorems are proved for $L^2$-Sobolev functions with fractional smoothness. An explicit $L^2$-lower bound shows that already lower order quadrature rules, such as the trapezoidal rule and the classical Riemann estimator, are rate optimal, but only the trapezoidal rule is efficient, achieving the minimal asymptotic variance.

Full work available at URL: https://arxiv.org/abs/1909.00474

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zbMATH Keywords

occupation timesemimartingalelower boundSobolev spacesintegral functionals

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Numerical quadrature and cubature formulas (65D32) Stochastic processes (60G99)

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Cited In (3)

• Discretization of the ergodic functional central limit theorem
• Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales
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