Accuracy of discrete approximation for integral functionals of Markov processes

I. Ganychenko; V. Knopova; A. Kulik

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arXiv · 1507.08983

Accuracy of discrete approximation for integral functionals of Markov processes

I. Ganychenko·V. Knopova·A. Kulik

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Abstract

The article is devoted to the estimation of the rate of convergence of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density which is differentiable in $t$ and the derivative has an integrable upper bound of a certain type, we derive the accuracy rates for strong and weak approximations of the functionals by Riemannian sums. Some examples are provided.

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BibTeX RIS

I. Ganychenko, V. Knopova, A. Kulik. 2015-07-31. Accuracy of discrete approximation for integral functionals of Markov processes. https://arxiv.org/abs/1507.08983

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