Article ID Journal Published Year Pages File Type
1156334 Stochastic Processes and their Applications 2008 13 Pages PDF
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 L2L2, and to establish the a.s. convergence of some of our schemes.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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