Strong approximation of stochastic processes at random times and application to their exact simulation

Emmanuel Gobet; Mohamed Mrad

doi:10.1080/17442508.2016.1267179

Strong approximation of stochastic processes at random times and application to their exact simulation

Emmanuel Gobet
, Mohamed Mrad

Laboratoire de Probabilités et Modèles Aléatoires

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	883-895
Nombre de pages	13
journal	Stochastics
Volume	89
Numéro de publication	6-7
Les DOIs	https://doi.org/10.1080/17442508.2016.1267179
état	Publié - 3 oct. 2017

Accès au document

10.1080/17442508.2016.1267179

Autres fichiers et liens

Lien vers la publication dans Scopus

Contient cette citation

@article{42c5c53b899647c0a8b3e128717f9c27,

title = "Strong approximation of stochastic processes at random times and application to their exact simulation",

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.",

keywords = "Euler schemes, Fractional Brownian motion, Strong approximation, exact simulation, iterated Brownian motion, local time",

author = "Emmanuel Gobet and Mohamed Mrad",

note = "Publisher Copyright: {\textcopyright} 2016 Informa UK Limited, trading as Taylor \& Francis Group.",

year = "2017",

month = oct,

day = "3",

doi = "10.1080/17442508.2016.1267179",

language = "English",

volume = "89",

pages = "883--895",

journal = "Stochastics",

issn = "1744-2508",

number = "6-7",

}

TY - JOUR

T1 - Strong approximation of stochastic processes at random times and application to their exact simulation

AU - Gobet, Emmanuel

AU - Mrad, Mohamed

PY - 2017/10/3

Y1 - 2017/10/3

N2 - 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.

AB - 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.

KW - Euler schemes

KW - Fractional Brownian motion

KW - Strong approximation

KW - exact simulation

KW - iterated Brownian motion

KW - local time

UR - https://www.scopus.com/pages/publications/85007194212

U2 - 10.1080/17442508.2016.1267179

DO - 10.1080/17442508.2016.1267179

M3 - Article

AN - SCOPUS:85007194212

SN - 1744-2508

VL - 89

SP - 883

EP - 895

JO - Stochastics

JF - Stochastics

IS - 6-7

ER -

Strong approximation of stochastic processes at random times and application to their exact simulation

Résumé

Accès au document

Autres fichiers et liens

Empreinte digitale

Contient cette citation