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Malliavin calculus for difference approximations of multidimensional diffusions: Truncated local limit theorem

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Abstract

The truncated local limit theorem is proved for difference approximations of multidimensional diffusions. Under very mild conditions on the distributions of difference terms, this theorem states that the transition probabilities of these approximations, after truncation of some asymptotically negligible terms, possess densities uniformly convergent to the transition probability density for the limiting diffusion and satisfy certain uniform diffusion-type estimates. The proof is based on a new version of the Malliavin calculus for the product of a finite family of measures that may contain nontrivial singular components. Applications to the uniform estimation of mixing and convergence rates for difference approximations of stochastic differential equations and to the convergence of difference approximations of local times for multidimensional diffusions are presented.

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Published in Ukrains’kyi Matematychnyi Zhurnal, Vol. 60, No. 3, pp. 340–381, March, 2008.

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Kulik, A.M. Malliavin calculus for difference approximations of multidimensional diffusions: Truncated local limit theorem. Ukr Math J 60, 395–440 (2008). https://doi.org/10.1007/s11253-008-0065-0

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  • DOI: https://doi.org/10.1007/s11253-008-0065-0

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