Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156334 | Stochastic Processes and their Applications | 2008 | 13 Pages |
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)
Authors
Bérard Bergery Blandine, Vallois Pierre,