Fast L2-approximation of integral-type functionals of Markov processes
Abstract
In this paper, we provide strong L2-rates of approximation of the integral-type functionals of Markov processes by integral sums. We improve the method developed in [2]. Under assumptions on the process formulated only in terms of its transition probability density, we get the accuracy that coincides with that obtained in [3] for a one-dimensional diffusion process.
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