Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions (Q711243)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions |
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Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions (English)
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25 October 2010
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An adaptive algorithm is used for approximating the Ito integral with deterministic integrands which have discontinuous derivative at a finite number of unknown singular points. The accuracy of this adaptive algorithm is shown to be better than that of a non adaptive one.
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stochastic Itô-integrals
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singular problems
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optimal algorithm
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standard information
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r-fold integrated Brownian motion
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Itô-Taylor algorithm
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adaptive algorithm
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