On Sampling of stationary increment processes
Probability
2007-05-23 v1
Abstract
Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(\epsilon)^{-1} at which a stochastic process with stationary increments \xi should be sampled, for the sampled process \xi(\lfloor\cdot /q(\epsilon)\rfloor q(\epsilon)) to deviate from \xi by at most \epsilon, with a given probability, asymptotically as \epsilon \downarrow0. The canonical application is to discretization errors in computer simulation of stochastic processes.
Cite
@article{arxiv.math/0503554,
title = {On Sampling of stationary increment processes},
author = {J. M. P. Albin},
journal= {arXiv preprint arXiv:math/0503554},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/105051604000000468 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)