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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
Аннотация:
Let X be a symmetric diffusion reflecting in a C3-bounded domain D⊂Rd, d≥1, with a C2-bounded and non-degenerate matrix a. For t>0 and n,k∈N let N(n,t) be the number of dyadic intervals In,k of length 2−n, k≥0, that contain a time s≤t s.t. X(s)∈∂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→∞. Applications include boundary value problems in PDE theory, efficient Monte Carlo simulations and Finance.
Ключевые слова:
Reflecting symmetric diffusion, Boundary local time, limit theorem, Monte Carlo, random scenery.
Образец цитирования:
Madani Abdelatif Benchérif, “A limit theorem for boundary local time of a symmetric reflected diffusion”, Theory Stoch. Process., 22(38):1 (2017), 41–61
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp170 https://www.mathnet.ru/rus/thsp/v22/i1/p41
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Страница аннотации: | 179 | PDF полного текста: | 80 | Список литературы: | 41 |
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