Accuracy of discrete approximation for integral functionals of Markov processes

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.

References in corpus (2)

• Estimates of transition densities and their derivatives for jump Lévy processes
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view