Fast L₂-approximation of integral-type functionals of Markov processes

DOI10.15559/15-VMSTA29zbMATH Open1352.60107arXiv1508.02847MaRDI QIDQ340769FDOQ340769

Authors: Iu. Ganychenko 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: In this paper, we provide strong $L_2$-rates of approximation of the integral-type functionals of Markov processes by integral sums. We improve the method developed in [2]. Under assumptions on the process formulated only in terms of its transition probability density, we get the accuracy that coincides with that obtained in [3] for a one-dimensional diffusion process.

Full work available at URL: https://arxiv.org/abs/1508.02847

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zbMATH Keywords

strong approximationMarkov processesconvergence ratesintegral functionals\(L_2\)-approximation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Continuous-time Markov processes on general state spaces (60J25) (L^p)-limit theorems (60F25)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Rates of approximation of nonsmooth integral-type functionals of Markov processes
• Approximations of non-smooth integral type functionals of one dimensional diffusion processes

Cited In (7)

• Approximation of occupation time functionals
• Accuracy of discrete approximation for integral functionals of Markov processes
• Weak approximation rates for integral functionals of Markov processes
• Rates of approximation of nonsmooth integral-type functionals of Markov processes
• Approximations of non-smooth integral type functionals of one dimensional diffusion processes
• Markov approximation of stable processes by random walks
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