Approximations of non-smooth integral type functionals of one dimensional diffusion processes

DOI10.1016/J.SPA.2014.01.003zbMATH Open1297.65012OpenAlexW2058906847MaRDI QIDQ401462FDOQ401462

Authors: Arturo Kohatsu-Higa, A. Makhlouf, H. L. Ngo 

Publication date: 27 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.spa.2014.01.003

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zbMATH Keywords

convergenceoccupation timeapproximationdiffusion processlocal timenon-smooth functionals of one-dimensional diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites Work

• The Malliavin Calculus and Related Topics
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• Higher-order implicit strong numerical schemes for stochastic differential equations
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• Discretization error in simulation of one-dimensional reflecting Brownian motion
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• Rates of convergence to the local time of a diffusion
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• Sharp estimates for the convergence of the density of the Euler scheme in small time
• Optimal investment strategy to minimize occupation time
• On asymptotic errors in discretization of processes
• Edokko options: a new framework of barrier options
• On the discrete approximation of occupation time of diffusion processes

Cited In (16)

• Approximation of occupation time functionals
• Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
• Optimal \(L^2\)-approximation of occupation and local times for symmetric stable processes
• Approximation of SDEs: a stochastic sewing approach
• Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit
• Intertwining relations for one-dimensional diffusions and application to functional inequalities
• Approximation for non-smooth functionals of stochastic differential equations with irregular drift
• Accuracy of discrete approximation for integral functionals of Markov processes
• Fast \(L_2\)-approximation of integral-type functionals of Markov processes
• Weak approximation rates for integral functionals of Markov processes
• Rates of approximation of nonsmooth integral-type functionals of Markov processes
• Central limit theorems for discretized occupation time functionals
• Quantifying a convergence theorem of Gyöngy and Krylov
• Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
• On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise
• Strong approximation of some particular one-dimensional diffusions

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