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

A. Kohatsu-Higa, A. Makhlouf and H.L. Ngo

Stochastic Processes and their Applications, 2014, vol. 124, issue 5, 1881-1909

Abstract: 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.

Keywords: Non-smooth functionals of one-dimensional diffusions; Occupation time; Local time; Approximation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2014.01.003

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