Blandine Berard Bergery, Pierre Vallois
Published 2007-09-04Version 1
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.
Comments: Accept\'e conditionnelement par Stochastic processes and their applications
The integral of the supremum process of Brownian motion
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