Optimal L2 -approximation of occupation and local times for symmetric stable processes
Résumé
The L2-approximation of occupation and local times of a symmetric α-stable Lévy process from high frequency discrete time observations is studied. The standard Riemann sum estimators are shown to be asymptotically efficient when 0 < α ≤ 1, but only rate optimal for 1 < α ≤ 2. For this, the exact convergence of the L2-approximation error is proven with explicit constants.
Domaines
Probabilités [math.PR]
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Estimation_occupation_time_stable_processes_HAL.pdf (338.99 Ko)
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