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On Rice's formula for stationary multivariate piecewise smooth processes
level crossings Rice’s formula stationarity Palm probabilities
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2010/12/9
Let X = {Xt : t ≥ 0} be a stationary piecewise continuous Rd-valued process that moves between jumps along the integral curves of a given continuous vector field,S ⊂ Rd be a smooth surface. The ...
Ergodic approximation of the distribution of a stationary diffusion : rate of convergence
stochastic differential equation stationary process steady regime ergodic diffusion Central Limit Theorem Euler scheme
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2010/11/26
We extend to Lipschitz continuous functionals either of the true paths or of the Euler scheme with decreasing step of a wide class of Brownian ergodic diffusions, the Central Limit Theorems formally e...