On mean numbers of passage times in small balls of discretized Itô processes
Résumé
The aim of this note is to prove estimates on mean values of the number of times that Itô pro- cesses observed at discrete times visit small balls in $mathbb{R}^d$. Our technique, in the infinite horizon case, is inspired by Krylov's arguments in [2, Chap.2]. In the finite horizon case, motivated by an application in stochastic numerics, we discount the number of visits by a locally exploding coef- ficient, and our proof involves accurate properties of last passage times at 0 of one dimensional semimartingales.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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