Approximation via regularization of the local time of semimartingales and Brownian motion

DOI10.1016/J.SPA.2007.12.002MaRDI QIDQ952741zbMATH OpenOpenAlexFDO

Authors Blandine Bérard Bergery, Pierre Vallois

Publication date 14 November 2008

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

Full work available at URL https://arxiv.org/abs/0709.0402

zbMATH Keywords

rate of convergencelocal timequadratic variationstochastic Fubini's theoremstochastic integration by regularization

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55) Stochastic analysis (60H99)

Abstract: Through a regularization procedure, few approximation schemes of the local time of a large class of one dimensional processes are given. We mainly consider the local time of continuous semimartingales and reversible diffusions, and the convergence holds in ucp sense. In the case of standard Brownian motion, we have been able to determine a rate of convergence in $L^2$, and a.s. convergence of some of our schemes.

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Cites work

• scientific article; zbMATH DE number 3982184 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
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Cited in

(7)

• Some Brownian local time approximations.
• Approximation of second-order moment processes from local averages
• A note on the sharp \(L^p\)-convergence rate of upcrossings to the Brownian local time
• Quadratic covariation estimates in non-smooth stochastic calculus
• scientific article; zbMATH DE number 3936145 (Why is no real title available?)
• Approximation of a Wiener process local time by functionals of random walks
• Approximation des trajectoires et temps local des diffusions. (Approximation of trajectories and local times of diffusions)

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