Central limit theorems for discretized occupation time functionals

Randolf Altmeyer

Stochastic Processes and their Applications, 2023, vol. 156, issue C, 101-125

Abstract: The approximation of integral type functionals is studied for discrete observations of a continuous Itô semimartingale. Based on novel approximations in the Fourier domain, central limit theorems are proved for L2-Sobolev functions with fractional smoothness. An explicit L2(P)-lower bound shows that already lower order quadrature rules, such as the trapezoidal rule and the classical Riemann estimator, are rate optimal, but only the trapezoidal rule is efficient, achieving the minimal asymptotic variance.

Keywords: Occupation time; Semimartingale; Integral functionals; Sobolev spaces; Lower bound (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spa.2022.11.006

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