| HAL-Inria | Publications, software ... of Inria's scientists |
Journal articles
On mean discounted numbers of passage times in small balls of Ito processes observed at discrete times
Abstract : The aim of this note is to prove estimates on mean values of the number of times that Itô processes observed at discrete times visit small balls in $\er^d$. Our technique, in the infinite horizon case, is inspired by Krylov's arguments in~\cite[Chap.2]{kry80}. In the finite horizon case, motivated by an application in stochastic numerics, we discount the number of visits by a locally exploding coefficient, and our proof involves accurate properties of last passage times at 0 of one dimensional semimartingales.
Cited literature [8 references]
https://hal.inria.fr/inria-00347610
Contributor : Mireille Bossy Connect in order to contact the contributor
Submitted on : Saturday, May 9, 2009 - 6:13:41 PM
Last modification on : Friday, February 4, 2022 - 3:11:32 AM
Long-term archiving on: : Saturday, November 26, 2016 - 8:51:05 AM
Contributor : Mireille Bossy Connect in order to contact the contributor
Submitted on : Saturday, May 9, 2009 - 6:13:41 PM
Last modification on : Friday, February 4, 2022 - 3:11:32 AM
Long-term archiving on: : Saturday, November 26, 2016 - 8:51:05 AM
File
RR-6813.pdf
Files produced by the author(s)