On sampling of stationary increment processes
Albin, J. M. P.
Ann. Appl. Probab., Tome 14 (2004) no. 1, p. 2016-2037 / Harvested from Project Euclid
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Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(ɛ)−1 at which a stochastic process with stationary increments ξ should be sampled, for the sampled process ξ(⌊⋅/q(ɛ)⌋q(ɛ)) to deviate from ξ by at most ɛ, with a given probability, asymptotically as ɛ↓0. The canonical application is to discretization errors in computer simulation of stochastic processes.
Publié le : 2004-11-14
Classification:  Fractional stable motion,  Lévy process,  sampling,  self-similar process,  stable process,  stationary increment process,  60G10,  60G70,  60G15,  68U20 
@article{1099674087,
     author = {Albin, J. M. P.},
     title = {On sampling of stationary increment processes},
     journal = {Ann. Appl. Probab.},
     volume = {14},
     number = {1},
     year = {2004},
     pages = { 2016-2037},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1099674087}
}

Albin, J. M. P. On sampling of stationary increment processes. Ann. Appl. Probab., Tome 14 (2004) no. 1, pp.  2016-2037. http://gdmltest.u-ga.fr/item/1099674087/