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On Sampling of stationary increment processes

J. M. P. Albin
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Abstract

Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(ε)^{-1} at which a stochastic process with stationary increments ξshould be sampled, for the sampled process ξ(\lfloor\cdot /q(ε)\rfloor q(ε)) to deviate from ξby at most ε, with a given probability, asymptotically as ε\downarrow0. The canonical application is to discretization errors in computer simulation of stochastic processes.

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J. M. P. Albin. 2005-03-24. On Sampling of stationary increment processes. https://doi.org/10.1214/105051604000000468

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