Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process (Q350258)
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English | Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process |
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Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process (English)
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7 December 2016
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This paper is concerned with approximating the stochastic integral \(I(f)=\int_0^Tf(t)dN_t\) with respect to the homogeneous Poisson process \(\{N_t\}_{t\in [0,T]}\) with intensity \(\lambda\). The authors investigate the Ito-Taylor method for the integrand \(f\in C^r([0,T])\). The optimal convergence rate \(O(n^{-r})\) of the Ito-Taylor method is proved for the \(L^p\) error for any \(p\in [1, \infty)\), where \(n\) is the sample of the integrand.
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stochastic integrals
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Poisson process
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adaptive information
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optimal algorithm
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Ito-Taylor method
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convergence
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