Theory of Stochastic Processes
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Theory Stoch. Process.:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Theory of Stochastic Processes, 2017, Volume 22(38), Issue 1, Pages 41–61 (Mi thsp170)  

A limit theorem for boundary local time of a symmetric reflected diffusion

Madani Abdelatif Benchérif

Université Ferhat Abbas à Sétif-1, Fac. Sciences, Dépt.Math. 19000 Algeria
References:
Abstract: Let $X$ be a symmetric diffusion reflecting in a $\mathcal{C}^{3}$-bounded domain $D\subset\mathbb{R}^{d}$, $d\geq 1$, with a $\mathcal{C}^{2}$-bounded and non-degenerate matrix $a$. For $t>0$ and $n,k\in \mathbb{N}$ let $N(n,t)$ be the number of dyadic intervals $I_{n,k}$ of length $2^{-n}$, $k\geq 0$, that contain a time $s\leq t$ s.t. $X(s)\in\partial D$. For a suitable normalizing factor $H(t)$ we prove, extending the one dimensional case, that a.s. for all $t>0$ the entropy functional $N(n,t)/H(2^{-n})$ converges to the boundary local time $L(t)$ as $n\rightarrow\infty$. Applications include boundary value problems in PDE theory, efficient Monte Carlo simulations and Finance.
Keywords: Reflecting symmetric diffusion, Boundary local time, limit theorem, Monte Carlo, random scenery.
Bibliographic databases:
Document Type: Article
MSC: Primary 60J60; Secondary 60K37, 60G51, 60J55, 65C05.
Language: English
Citation: Madani Abdelatif Benchérif, “A limit theorem for boundary local time of a symmetric reflected diffusion”, Theory Stoch. Process., 22(38):1 (2017), 41–61
Citation in format AMSBIB
\Bibitem{Mad17}
\by Madani Abdelatif Bench\'erif
\paper A limit theorem for boundary local time of a symmetric reflected diffusion
\jour Theory Stoch. Process.
\yr 2017
\vol 22(38)
\issue 1
\pages 41--61
\mathnet{http://mi.mathnet.ru/thsp170}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3742388}
\zmath{https://zbmath.org/?q=an:1399.60130}
Linking options:
  • https://www.mathnet.ru/eng/thsp170
  • https://www.mathnet.ru/eng/thsp/v22/i1/p41
  • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Theory of Stochastic Processes
    Statistics & downloads:
    Abstract page:171
    Full-text PDF :76
    References:41
     
      Contact us:
     Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024