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On mean numbers of passage times in small balls of discretized Itô processes


 
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1. Title Title of document On mean numbers of passage times in small balls of discretized Itô processes
 
2. Creator Author's name, affiliation, country Frédéric Bernardin; CETE de Lyon
 
2. Creator Author's name, affiliation, country Mireille Bossy; INRIA Sophia Antipolis Méditerrannée
 
2. Creator Author's name, affiliation, country Miguel Martinez; Université Paris-Est Marne-la-Vallée, LAMA, UMR 8050 CNRS
 
2. Creator Author's name, affiliation, country Denis Talay; INRIA Sophia Antipolis Méditerrannée
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Diffusion processes, sojourn times, estimates, discrete times
 
3. Subject Subject classification 60G99
 
4. Description Abstract The aim of this note is to prove estimates on mean values of the number of times that Itô processes observed at discrete times visit small balls in $\mathbb{R}^d$. Our technique, in the innite horizon case, is inspired by Krylov's arguments in [2, Chap.2]. In the finite horizon case, motivated by an application in stochastic numerics, we discount the number of visits by a locally exploding coeffcient, and our proof involves accurate properties of last passage times at 0 of one dimensional semimartingales.
 
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7. Date (YYYY-MM-DD) 2009-07-25
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1479
 
10. Identifier Digital Object Identifier 10.1214/ECP.v14-1479
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 14
 
12. Language English=en
 
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