Fast $L_2$-approximation of integral-type functionals of Markov processes
نویسندگان
چکیده
منابع مشابه
Moderate Deviations Type Evaluation for Integral Functionals of Diffusion Processes
where Ψ and g are smooth functions, ξε t is a “fast” ergodic diffusion whileXε t is a “slow” diffusion type process, κ ∈ (0, 1/2). Under the assumption that g has zero barycenter with respect to the invariant distribution of the fast diffusion, we derive the main result from the moderate deviation principle for the family (ε−κ ∫ t 0 g(ξ ε s)ds)t≥0, ε ↘ 0 which has an independent interest as wel...
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We are grateful to the referees and Benedikt Pötscher for their helpful and constructive comments+ The research of the first author was partially supported by OTKA grants T37668 and T43037 and NSF-OTKA grant INT0223262+ The research of the second author was partially supported by NATO grant PST+EAP+CLG 980599 and NSF-OTKA grant INT-0223262+ Address correspondence to István Berkes, Graz Universi...
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ژورنال
عنوان ژورنال: Modern Stochastics: Theory and Applications
سال: 2015
ISSN: 2351-6054,2351-6046
DOI: 10.15559/15-vmsta29