Optimal discretization of stochastic integrals driven by general Brownian semimartingale
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Publication:1621716
DOI10.1214/17-AIHP848zbMath1404.60055OpenAlexW2767591718MaRDI QIDQ1621716
Emmanuel Gobet, Uladzislau Stazhynski
Publication date: 9 November 2018
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aihp/1531296029
Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)
Related Items (2)
Model-adaptive optimal discretization of stochastic integrals ⋮ Parametric inference for diffusions observed at stopping times
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