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hal.structure.identifierCentre de Recherche en Économie et Statistique [CREST]
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno*
hal.structure.identifier
dc.contributor.authorGeiss, Stefan*
hal.structure.identifierCentre de Mathématiques Appliquées [CMAP]
dc.contributor.authorGobet, Emmanuel
HAL ID: 4874
ORCID: 0000-0002-9940-2493
*
dc.date.accessioned2017-03-24T17:17:39Z
dc.date.available2017-03-24T17:17:39Z
dc.date.issued2017
dc.identifier.issn1350-7265
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16443
dc.language.isoenen
dc.subjectExit time
dc.subjectEuler scheme
dc.subjectStrong approximation
dc.subject.ddc519en
dc.titleFirst time to exit of a continuous Itô process: General moment estimates and L1 -convergence rate for discrete time approximations
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe establish general moment estimates for the discrete and continuous exit times of a general Itô process in terms of the distance to the boundary. These estimates serve as intermediate steps to obtain strong convergence results for the approximation of a continuous exit time by a discrete counterpart, computed on a grid. In particular, we prove that the discrete exit time of the Euler scheme of a diffusion converges in the L1 norm with an order 1/2 with respect to the mesh size.
dc.relation.isversionofjnlnameBernoulli
dc.relation.isversionofjnlvol23
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages1631-1662
dc.relation.isversionofdoi10.3150/15-BEJ791
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-00844887
dc.relation.isversionofjnlpublisherInternational Statistical Institute
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-02-28T09:13:50Z
hal.author.functionaut
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