Fast <math xmlns="http://www.w3.org/1998/Math/MathML"><msub><mrow><mi mathvariant="italic">L</mi></mrow><mrow><mn>2</mn></mrow></msub></math>-approximation of integral-type functionals of Markov processes
In this paper, we provide strong $L_{2}$-rates of approximation of the integral-type functionals of Markov processes by integral sums. We improve the method developed in [2]. Under assumptions on the process formulated only in terms of its transition probability density, we get the accuracy that coi...
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| Format: | Article |
| Language: | English |
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VTeX
2015-07-01
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| Series: | Modern Stochastics: Theory and Applications |
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| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA29 |
| Summary: | In this paper, we provide strong $L_{2}$-rates of approximation of the integral-type functionals of Markov processes by integral sums. We improve the method developed in [2]. Under assumptions on the process formulated only in terms of its transition probability density, we get the accuracy that coincides with that obtained in [3] for a one-dimensional diffusion process. |
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| ISSN: | 2351-6046 2351-6054 |