Spectral Properties of Trinomial Trees

Spectral Properties of Trinomial Trees

In this paper, we prove that the probability kernel of a random walk on a trinomial tree converges to the density of a Brownian motion with drift at the rate O(h⁴), where h is the distance between the nodes of the tree. We also show that this convergence estimate is optimal in which the density of t...

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Veröffentlicht in:Proceedings: Mathematical, Physical and Engineering Sciences. - The Royal Society. - 463(2007), 2083, Seite 1681-1696
1. Verfasser: Mijatović, Aleksandar (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2007
Zugriff auf das übergeordnete Werk:Proceedings: Mathematical, Physical and Engineering Sciences
Schlagworte:trinomial trees Brownian motion with drift convergence estimates for probability densities spectral theory Mathematics Physical sciences Applied sciences
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520 |a In this paper, we prove that the probability kernel of a random walk on a trinomial tree converges to the density of a Brownian motion with drift at the rate O(h⁴), where h is the distance between the nodes of the tree. We also show that this convergence estimate is optimal in which the density of the random walk cannot converge at a faster rate. The proof is based on an application of spectral theory to the transition density of the random walk. This yields an integral representation of the discrete probability kernel that allows us to determine the convergence rate. 
540 |a Copyright 2007 The Royal Society 
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650 4 |a Brownian motion with drift 
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