Approximations of non-smooth integral type functionals of one dimensional diffusion processes
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DOI: 10.1016/j.spa.2014.01.003
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Cited by:
- Altmeyer, Randolf & Chorowski, Jakub, 2018. "Estimation error for occupation time functionals of stationary Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1830-1848.
- Kulik, Alexei M., 2019. "On weak uniqueness and distributional properties of a solution to an SDE with α-stable noise," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 473-506.
- Altmeyer, Randolf, 2023. "Central limit theorems for discretized occupation time functionals," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 101-125.
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Keywords
Non-smooth functionals of one-dimensional diffusions; Occupation time; Local time; Approximation;All these keywords.
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