Weak approximation rates for integral functionals of Markov processes

DOI10.15559/15-VMSTA37CNFMaRDI QIDQ340781zbMATH OpenOpenAlexFDO

Authors Iu. Ganychenko, A. M. Kulik

Publication date 15 November 2016

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

Full work available at URL https://arxiv.org/abs/1510.01854

zbMATH Keywords

Markov processesFeynman-Kac formulaintegral functionalsoccupation-time optionweak approximation rates

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)

Abstract: We obtain weak rates for approximation of an integral functional of a Markov process by integral sums. An assumption on the process is formulated only in terms of its transition probability density, and, therefore, our approach is not strongly dependent on the structure of the process. Applications to the estimates of the rates of approximation of the Feynman--Kac semigroup and of the price of "occupation-time options" are provided.

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Cites work

• scientific article; zbMATH DE number 1220665 (Why is no real title available?)
• Approximations of non-smooth integral type functionals of one dimensional diffusion processes
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• Rates of approximation of nonsmooth integral-type functionals of Markov processes
• Sharp estimates for the convergence of the density of the Euler scheme in small time
• Step options.

Cited in

(8)

• Approximation of the distribution of a stationary Markov process with application to option pricing
• Weak convergence methods for approximation of the evaluation of path-dependent functionals
• On extension of the Markov chain approximation method for computing Feynman-Kac type expectations
• Accuracy of discrete approximation for integral functionals of Markov processes
• Fast L₂-approximation of integral-type 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
• Weak error for continuous time Markov chains related to fractional in time P(I)DEs

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