Abstract
We study the convergence rates of strong approximations of stochastic processes (possibly non semi-martingales) at random times (possibly non stopping times). Examples include Brownian local times at random points, Fractional Brownian motions or diffusion processes at Brownian time. These strong approximation results allow to design an exact simulation scheme.
| Original language | English |
|---|---|
| Pages (from-to) | 883-895 |
| Number of pages | 13 |
| Journal | Stochastics |
| Volume | 89 |
| Issue number | 6-7 |
| DOIs | |
| Publication status | Published - 3 Oct 2017 |
Keywords
- Euler schemes
- Fractional Brownian motion
- Strong approximation
- exact simulation
- iterated Brownian motion
- local time