Weak approximation rates for integral functionals of Markov processes

We obtain weak rates for approximation of an integral functional of a Markov process by integral sums. An assumption on the process is formulated only in terms of its transition probability density, and, therefore, our approach is not strongly dependent on the structure of the process. Applications...

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Main Authors:	Iurii Ganychenko, Alexei Kulik
Format:	Article
Language:	English
Published:	VTeX 2015-09-01
Series:	Modern Stochastics: Theory and Applications
Subjects:	Markov processes integral functional weak approximation rates Feynman-Kac formula occupation-time option
Online Access:	https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA37CNF

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spelling	doaj-067e48c0c70140cb84f5c8a3fbb1fee52020-11-24T21:53:22ZengVTeXModern Stochastics: Theory and Applications2351-60462351-60542015-09-012325126610.15559/15-VMSTA37CNFWeak approximation rates for integral functionals of Markov processesIurii Ganychenko0Alexei Kulik1Taras Shevchenko National University of Kyiv, Kyiv, UkraineInstitute of Mathematics, National Academy of Sciences of Ukraine, Kyiv, UkraineWe obtain weak rates for approximation of an integral functional of a Markov process by integral sums. An assumption on the process is formulated only in terms of its transition probability density, and, therefore, our approach is not strongly dependent on the structure of the process. Applications to the estimates of the rates of approximation of the Feynman–Kac semigroup and of the price of “occupation-time options” are provided.https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA37CNFMarkov processesintegral functionalweak approximation ratesFeynman-Kac formulaoccupation-time option
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Iurii Ganychenko Alexei Kulik
spellingShingle	Iurii Ganychenko Alexei Kulik Weak approximation rates for integral functionals of Markov processes Modern Stochastics: Theory and Applications Markov processes integral functional weak approximation rates Feynman-Kac formula occupation-time option
author_facet	Iurii Ganychenko Alexei Kulik
author_sort	Iurii Ganychenko
title	Weak approximation rates for integral functionals of Markov processes
title_short	Weak approximation rates for integral functionals of Markov processes
title_full	Weak approximation rates for integral functionals of Markov processes
title_fullStr	Weak approximation rates for integral functionals of Markov processes
title_full_unstemmed	Weak approximation rates for integral functionals of Markov processes
title_sort	weak approximation rates for integral functionals of markov processes
publisher	VTeX
series	Modern Stochastics: Theory and Applications
issn	2351-6046 2351-6054
publishDate	2015-09-01
description	We obtain weak rates for approximation of an integral functional of a Markov process by integral sums. An assumption on the process is formulated only in terms of its transition probability density, and, therefore, our approach is not strongly dependent on the structure of the process. Applications to the estimates of the rates of approximation of the Feynman–Kac semigroup and of the price of “occupation-time options” are provided.
topic	Markov processes integral functional weak approximation rates Feynman-Kac formula occupation-time option
url	https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA37CNF
work_keys_str_mv	AT iuriiganychenko weakapproximationratesforintegralfunctionalsofmarkovprocesses AT alexeikulik weakapproximationratesforintegralfunctionalsofmarkovprocesses
_version_	1725872751882797056

Weak approximation rates for integral functionals of Markov processes

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