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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 <>
Submitted on : Saturday, May 9, 2009 - 6:13:41 PM
Last modification on : Thursday, February 11, 2021 - 2:48:32 PM
Long-term archiving on: : Saturday, November 26, 2016 - 8:51:05 AM
Contributor : Mireille Bossy <>
Submitted on : Saturday, May 9, 2009 - 6:13:41 PM
Last modification on : Thursday, February 11, 2021 - 2:48:32 PM
Long-term archiving on: : Saturday, November 26, 2016 - 8:51:05 AM
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RR-6813.pdf
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