Fast $L_2$-approximation of integral-type functionals of Markov processes
Probability
2015-08-13 v1
Abstract
In this paper, we provide strong -rates of approximation of the integral-type functionals of Markov processes by integral sums. We improve the method developed in [2]. Under assumptions on the process formulated only in terms of its transition probability density, we get the accuracy that coincides with that obtained in [3] for a one-dimensional diffusion process.
Cite
@article{arxiv.1508.02847,
title = {Fast $L_2$-approximation of integral-type functionals of Markov processes},
author = {Iurii Ganychenko},
journal= {arXiv preprint arXiv:1508.02847},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.15559/15-VMSTA29 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)