Abstract
We study the convergence rates of strong approximations of stochastic processes (possibly non semi-martingales) at random times (possibly non stopping times). Examples include Brownian local times at random points, Fractional Brownian motions or diffusion processes at Brownian time. These strong approximation results allow to design an exact simulation scheme.
Notes
No potential conflict of interest was reported by the authors.
1 To be precise, their scheme converges towards some fBM and not necessarily .