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Article Dans Une Revue Stochastics: An International Journal of Probability and Stochastic Processes Année : 2017

Strong approximation of stochastic processes at random times and application to their exact simulation

Résumé

We study the convergence rates of strong approximations of stochastic processes (possibly non semi-martingales) at random times (possibly non stopping times). Examples include Brownian local times at random points, Fractional Brownian motions or diffusion processes at Brownian time. These strong approximation results allow to design an exact simulation scheme.
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Dates et versions

hal-04005210 , version 1 (26-02-2023)

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Emmanuel Gobet, Mohamed Mrad. Strong approximation of stochastic processes at random times and application to their exact simulation. Stochastics: An International Journal of Probability and Stochastic Processes, 2017, 89 (6-7), pp.883-895. ⟨10.1080/17442508.2016.1267179⟩. ⟨hal-04005210⟩
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