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

作者：Kohatsu Higa A^*; Makhlouf A; Ngo H L

来源：Stochastic Processes and Their Applications, 2014, 124(5): 1881-1909.

DOI：10.1016/j.spa.2014.01.003

• Non-smooth functionals of one-dimensional diffusions
• Occupation time
• Local time
• Approximation

In this article, we obtain the weak and strong rates of convergence of time integrals of non-smooth functions of a one dimensional diffusion process. We propose the use of the exact simulation scheme to simulate the process at discretization points. In particular, we also present the rates of convergence for the weak and strong errors of approximation for the local time of a one dimensional diffusion process as an application of our method.

• 出版日期2014-5