First time to exit of a continuous Itô process: general moment estimates and L₁-convergence rate for discrete time approximations

DOI10.3150/15-BEJ791MaRDI QIDQ527458zbMATH OpenOpenAlexWikidataFDO

Authors Bruno Bouchard, Stefan Geiss, Emmanuel Gobet

Publication date 11 May 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.4247

zbMATH Keywords

strong approximationEuler schemeexit time

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We establish general moment estimates for the discrete and continuous exit times of a general It^o process in terms of the distance to the boundary. These estimates serve as intermediate steps to obtain strong convergence results for the approximation of a continuous exit time by a discrete counterpart, computed on a grid. In particular, we prove that the discrete exit time of the Euler scheme of a diffusion converges in the L1 norm with an order 1/2 with respect to the mesh size.

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