Approximation via regularization of the local time of semimartingales and Brownian motion-Reference-Cited by-同舟云学术

Approximation via regularization of the local time of semimartingales and Brownian motion

Published:2008-11 Issue:11 Volume:118 Page:2058-2070
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Blandine Bérard Bergery,Pierre Vallois

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference15 articles.

1. Approximation des trajectoires et temps local des diffusions;Azaïs;Ann. Inst. H. Poincaré Probab. Statist.,1989

2. Blandine Bérard Bergery, Approximation du temps local, Ph.D. Thesis, Nancy Université, 2004–2007

3. Quelques approximations du temps local brownien;Bérard Bergery;C. R. Math. Acad. Sci. Paris,2007

4. Approximation at first and second order of m-order integrals of the fractional Brownian motion and of certain semimartingales;Gradinaru;Electron. J. Probab.,2003

5. Rates of convergence to the local time of a diffusion;Jacod;Ann. Inst. H. Poincaré Probab. Statist.,1998

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Itô Integrals;Stochastic Calculus via Regularizations;2022

2. Approximation of a Wiener Process Local Time by Functionals of Random Walks;Theory of Probability & Its Applications;2021-01

3. A note on the sharp Lp-convergence rate of upcrossings to the Brownian local time;Statistics & Probability Letters;2015-05

4. Quadratic covariation estimates in non-smooth stochastic calculus;Stochastic Processes and their Applications;2015-01