Linear information for approximation of the Itô integrals (Q1047177): Difference between revisions
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| Language | Label | Description | Also known as |
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| English | Linear information for approximation of the Itô integrals |
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Linear information for approximation of the Itô integrals (English)
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4 January 2010
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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.
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