\(L^2\)-convergence rate for the discretization error of functions of Lévy process (Q5086496)
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scientific article; zbMATH DE number 7553644
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| English | \(L^2\)-convergence rate for the discretization error of functions of Lévy process |
scientific article; zbMATH DE number 7553644 |
Statements
<i>L</i><sup>2</sup>-convergence rate for the discretization error of functions of Lévy process (English)
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5 July 2022
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discretization error of stochastic integral
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hedging error
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Clark-Ocone formula
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discrete-time Clark-Ocone formula
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Sobolev differentiability
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0.7385324239730835
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0.7343823909759521
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0.7308490872383118
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0.7284542918205261
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0.727684497833252
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