Approximation via regularization of the local time of semimartingales and Brownian motion
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Through a regularization procedure, few approximation schemes of the local time of a large class of one dimensional processes are given. We mainly consider the local time of continuous semimartingales and reversible diffusions, and the convergence holds in ucp sense. In the case of standard Brownian motion, we have been able to determine a rate of convergence in $L^2$, and a.s. convergence of some of our schemes.
Accepté conditionnelement par Stochastic processes and their applications
Accepté conditionnelement par Stochastic processes and their applications