Estimation error for occupation time functionals of stationary Markov\n processes

2016/10/17 by Randolf Altmeyer, Altmeyer, Randolf, Jakub Chorowski +1 · 1 citation
Engineering · #Control Systems and Identification

paper · pdf · doi:10.48550/arxiv.1610.05225

Abstract

The approximation of integral functionals with respect to a stationary Markov\nprocess by a Riemann-sum estimator is studied. Stationarity and the functional\ncalculus of the infinitesimal generator of the process are used to get a better\nunderstanding of the estimation error and to prove a general error bound. The\npresented approach admits general integrands and gives a unifying explanation\nfor different rates obtained in the literature. Several examples demonstrate\nhow the general bound can be related to well-known function spaces.\n

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