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

DOI10.1016/J.SPA.2007.12.002zbMATH Open1151.60329arXiv0709.0402OpenAlexW2131262100MaRDI QIDQ952741FDOQ952741

Authors: Blandine Bérard Bergery, Pierre Vallois 

Publication date: 14 November 2008

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

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.

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

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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)

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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
• Title not available (Why is that?)
• 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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