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تسجيل مستخدم جديدOptimal L2 -approximation of occupation and local times for symmetric stable processes
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The L2-approximation of occupation and local times of a symmetric $alpha$-stable L{e}vy process from high frequency discrete time observations is studied. The standard Riemann sum estimators are shown to be asymptotically efficient when 0 < $alpha$ $le$ 1, but only rate optimal for 1 < $alpha$ $le$ 2. For this, the exact convergence of the L2-approximation error is proven with explicit constants.
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