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arXiv · 1508.02847

Fast $L_2$-approximation of integral-type functionals of Markov processes

Iurii Ganychenko
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Abstract

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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Iurii Ganychenko. 2015-08-12. Fast $L_2$-approximation of integral-type functionals of Markov processes. https://doi.org/10.15559/15-vmsta29

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