On Sampling of Stationary Increment Processes
نویسنده
چکیده
Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(ε) at which a stochastic process with stationary increments ξ should be sampled, for the sampled process ξ(⌊·/q(ε)⌋q(ε)) to deviate from ξ by at most ε, with a given probability, asymptotically as ε ↓ 0. The canonical application is to discretization errors in computer simulation of stochastic processes.
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تاریخ انتشار 2005