Approximations of non-smooth integral type functionals of one dimensional diffusion processes

In this article, we obtain the weak and strong rates of convergence of time integrals of non-smooth functions of a one dimensional diffusion process. We propose the use of the exact simulation scheme to simulate the process at discretization points. In particular, we also present the rates of convergence for the weak and strong errors of approximation for the local time of a one dimensional diffusion process as an application of our method.

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Year of publication:	2014
Authors:	Kohatsu-Higa, A. ; Makhlouf, A. ; Ngo, H.L.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 5, p. 1881-1909
Publisher:	Elsevier
Subject:	Non-smooth functionals of one-dimensional diffusions \| Occupation time \| Local time \| Approximation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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