Modern Stochastics: Theory and Applications

The article is devoted to the estimation of the convergence rate of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density 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. We also develop a version of the parametrix method, which provides the required upper bound for the derivative of the transition probability density for a solution of an SDE driven by a locally stable process. As an application, we give accuracy bounds for an approximation of the price of an occupation time option.

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.

In this paper, we provide strong $L_{2}$-rates of approximation of the integral-type functionals of Markov processes by integral sums. We improve the method developed in [2]. Under assumptions on the process formulated only in terms of its transition probability density, we get the accuracy that coincides with that obtained in [3] for a one-dimensional diffusion process.

We provide strong $L_{p}$-rates of approximation of nonsmooth integral-type functionals of Markov processes by integral sums. Our approach is, in a sense, process insensitive and is based on a modification of some well-developed estimates from the theory of continuous additive functionals of Markov processes.

In this article, we study homogeneous transient diffusion processes. We provide the basic distributions of their local times. It helps to get exact formulas and upper bounds for the moments, exponential moments, and potentials of integral functionals of transient diffusion processes. Some of the results generalize the corresponding results of Salminen and Yor for the Brownian motion with drift.