Malliavin calculus for difference approximations of multidimensional diffusions: truncated local limit theorem

Details Malliavin calculus for difference approximations of multidimensional diffusions: truncated local limit theorem Malliavin calculus for difference approximations of multidimensional diffusions: truncated local limit theorem

2008-01-15

arxiv.org/abs/0801.2319v1

Mathematics

Probability

34 pages

Scientific paper

For a difference approximations of multidimensional diffusion, the truncated local limit theorem is proved. Under very mild conditions on the distribution of the difference terms, this theorem provides that the transition probabilities of these approximations, after truncation of some asymptotically negligible terms, possess a densities that converge uniformly to the transition probability density for the limiting diffusion and satisfy a uniform diffusion-type estimates. The proof is based on the new version of the Malliavin calculus for the product of finite family of measures, that may contain non-trivial singular components. An applications for uniform estimates for mixing and convergence rates for difference approximations to SDE's and for convergence of difference approximations for local times of multidimensional diffusions are given.

Affiliated with

Also associated with

No associations

Rating

Malliavin calculus for difference approximations of multidimensional diffusions: truncated local limit theorem does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Malliavin calculus for difference approximations of multidimensional diffusions: truncated local limit theorem, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Malliavin calculus for difference approximations of multidimensional diffusions: truncated local limit theorem will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-151250