An estimate of the rate of convergence of a sequence of additive functionals of difference approximations for a multidimensional diffusion process

DOI10.1090/TPMS/947MaRDI QIDQ2944730zbMATH OpenOpenAlexFDO

Authors Iu. V. Ganychenko

Publication date 8 September 2015

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/tpms/947

zbMATH Keywords

convergence ratelocal timeadditive functionalsMarkov approximationmultidimensional diffusion processdifference approximations

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

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Cites work

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• scientific article; zbMATH DE number 3215020 (Why is no real title available?)
• Local limit theorems for transition densities of Markov chains converging to diffusions
• Markov approximation of stable processes by random walks
• Theory of stochastic processes. With applications to financial mathematics and risk theory
• Weak convergence of additive functionals of a sequence of Markov chains

Cited in

(3)

• Difference approximation of the local times of multidimensional diffusions
• Rate estimation for weak convergence of diffusion processes
• scientific article; zbMATH DE number 1336738 (Why is no real title available?)

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