Central limit theorems for discretized occupation time functionals

DOI10.1016/J.SPA.2022.11.006MaRDI QIDQ2680392zbMATH OpenOpenAlexWikidataFDO

Authors Randolf Altmeyer

Publication date 2 January 2023

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

Recommendations

• Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales
• Approximation of occupation time functionals
• High-frequency asymptotics for path-dependent functionals of Itô semimartingales
• Quarticity and other functionals of volatility: efficient estimation
• Discretization of processes.

Cites work

• scientific article; zbMATH DE number 4098703 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 2208228 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A simple method for the existence of a density for stochastic evolutions with rough coefficients
• Absolute continuity for some one-dimensional processes
• Accuracy of discrete approximation for integral functionals of Markov processes
• Approximation of occupation time functionals
• Approximations of non-smooth integral type functionals of one dimensional diffusion processes
• Averaging along irregular curves and regularisation of ODEs
• Discrete Sampling of Functionals of Ito Processes
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
• Occupation densities
• On asymptotic errors in discretization of processes
• Optimal L^2-approximation of occupation and local times for symmetric stable processes
• Optimal estimation of the supremum and occupation times of a self-similar Lévy process
• Theory of function spaces

Cited in

(3)

• Discretization of the ergodic functional central limit theorem
• Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales
• scientific article; zbMATH DE number 879749 (Why is no real title available?)

This page was built for publication: Central limit theorems for discretized occupation time functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2680392)