Rates of approximation of nonsmooth integral-type functionals of Markov processes

Abstract

We provide strong $L_{p}$-rates of approximation of nonsmooth integral-type functionals of Markov processes by integral sums. Our approach is, in a sense, process insensitive and is based on a modification of some well-developed estimates from the theory of continuous additive functionals of Markov processes.

Keywords

• Markov process
• integral functional
• approximation rate