Weak approximation rates for integral functionals of Markov processes
Volume 2, Issue 3 (2015): PRESTO-2015, pp. 251–266
Pub. online: 23 September 2015
Type: Research Article
Open Access
Open Access
Received
6 September 2015
6 September 2015
Accepted
14 September 2015
14 September 2015
Published
23 September 2015
23 September 2015
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.
References
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