Accuracy of discrete approximation for integral functionals of Markov processes

The article is devoted to the estimation of the convergence rate of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density differentiable in t and the derivative has an integrable upper bound of a certain type, we derive t...

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Bibliographic Details
Main Authors: Iurii Ganychenko, Victoria Knopova, Alexei Kulik
Format: Article
Language:English
Published: VTeX 2015-12-01
Series:Modern Stochastics: Theory and Applications
Subjects:
Online Access:https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA46