Linear information for approximation of the Itô integrals (Q1047177): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 02:01, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear information for approximation of the Itô integrals |
scientific article |
Statements
Linear information for approximation of the Itô integrals (English)
0 references
4 January 2010
0 references
Upper and lower bounds are obtained on the error incurred when using the Wagner-Platen algorithm to approximate Itô integrals of the form \[ \int^T_0 f(t, B_t)\,dB_t, \] where \(B\) is Brownian motion and \(f\) satisfies certain smoothness conditions.
0 references
