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arXiv · 1510.01854

Weak approximation rates for integral functionals of Markov processes

Iurii Ganychenko·Alexei Kulik
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Abstract

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.

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Iurii Ganychenko, Alexei Kulik. 2015-10-07. Weak approximation rates for integral functionals of Markov processes. https://doi.org/10.15559/15-vmsta37cnf

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