Title of article
Approximation via regularization of the local time of semimartingales and Brownian motion
Author/Authors
Blandine، نويسنده , , Bérard Bergery and Pierre، نويسنده , , Vallois، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
13
From page
2058
To page
2070
Abstract
Through a regularization procedure, a few schemes for approximation of the local time of a large class of continuous semimartingales and reversible diffusions are given. The convergence holds in the ucp sense. In the case of standard Brownian motion, we have been able to bound the rate of convergence in L 2 , and to establish the a.s. convergence of some of our schemes.
Keywords
Local time , Quadratic variation , Stochastic Fubini’s theorem , Rate of convergence , Stochastic integration by regularization
Journal title
Stochastic Processes and their Applications
Serial Year
2008
Journal title
Stochastic Processes and their Applications
Record number
1578034
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