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Journal Articles Discrete and Continuous Dynamical Systems - Series B Year : 2024

Strong approximation of some particular one-dimensional diffusions

Abstract

We develop a new technique for the path approximation of one-dimensional stochastic processes. Our results apply to the Brownian motion and to some families of stochastic differential equations whose distributions could be represented as a function of a time-changed Brownian motion (usually known as L and G-classes). We are interested in the epsilon-strong approximation. We propose an explicit and easy-to-implement procedure that jointly constructs, the sequences of exit times and corresponding exit positions of some well-chosen domains. In our main results, we prove the convergence of our scheme and how to control the number of steps, which depends on the covering of a fixed time interval by intervals of random sizes. The underlying idea of our analysis is to combine results on Brownian exit times from time-depending domains (one-dimensional heat balls) and classical renewal theory. Numerical examples and issues are also developed in order to complete the theoretical results.
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Dates and versions

hal-02799638 , version 1 (05-06-2020)
hal-02799638 , version 2 (14-12-2020)
hal-02799638 , version 3 (07-06-2021)
hal-02799638 , version 4 (19-09-2023)

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Cite

Madalina Deaconu, Samuel Herrmann. Strong approximation of some particular one-dimensional diffusions. Discrete and Continuous Dynamical Systems - Series B, 2024, 29 (4), pp.1990-2017. ⟨hal-02799638v4⟩
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