Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

DOI10.3150/09-BEJ197zbMath1202.60078arXiv0711.1439OpenAlexW3105105292WikidataQ110085707 ScholiaQ110085707MaRDI QIDQ605878

Anni Toivola, Stefan Geiss

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.1439

zbMATH Keywords

weak convergenceapproximationBesov spacesstochastic integrals

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

Related Items (22)

A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions ⋮ Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion ⋮ A note on Malliavin fractional smoothness for Lévy processes and approximation ⋮ A discrete-time Clark-Ocone formula and its application to an error analysis ⋮ Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals ⋮ Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition ⋮ Error distributions for random grid approximations of multidimensional stochastic integrals ⋮ Discretization error of stochastic integrals ⋮ Mean square error for the Leland-Lott hedging strategy: convex pay-offs ⋮ An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility ⋮ A correction note to ``Discrete time hedging errors for options with irregular payoffs ⋮ Efficient discretization of stochastic integrals ⋮ THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY ⋮ On discrete time hedging errors in a fractional Black-Scholes model ⋮ Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ Almost sure optimal hedging strategy ⋮ Asymptotic analysis of hedging errors in models with jumps ⋮ Asymptotics for discrete time hedging errors under fractional Black-Scholes models ⋮ On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space ⋮ Higher-order error estimates of the discrete-time Clark-Ocone formula

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• ANOVA for diffusions and Itō processes
• Mean square error for the Leland-Lott hedging strategy: convex pay-offs
• When and how an error yields a Dirichlet form
• Interpolation and approximation in \(L_{2}(\gamma )\)
• On irregular functionals of SDEs and the Euler scheme
• Asymptotic analysis of hedging errors in models with jumps
• Limit distributions for the error in approximations of stochastic integrals
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Fractional order Sobolev spaces on Wiener space
• Weighted BMO and discrete time hedging within the Black-Scholes model
• Weak convergence of financial markets.
• Lipschitz functions and fractional Sobolev spaces
• On an approximation problem for stochastic integrals where random time nets do not help
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Quantitative approximation of certain stochastic integrals
• On approximation of a class of stochastic integrals and interpolation
• Discrete time hedging errors for options with irregular payoffs

This page was built for publication: Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces