Accuracy of discrete approximation for integral functionals of Markov processes
Probability
2015-08-03 v1
Abstract
The article is devoted to the estimation of the rate of convergence of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density which is differentiable in and the derivative has an integrable upper bound of a certain type, we derive the accuracy rates for strong and weak approximations of the functionals by Riemannian sums. Some examples are provided.
Cite
@article{arxiv.1507.08983,
title = {Accuracy of discrete approximation for integral functionals of Markov processes},
author = {I. Ganychenko and V. Knopova and A. Kulik},
journal= {arXiv preprint arXiv:1507.08983},
year = {2015}
}