Error distributions for random grid approximations of multidimensional stochastic integrals

DOI10.1214/12-AAP858zbMath1290.60025arXiv1108.5063MaRDI QIDQ1948705

Holger Rootzén, Carl Lindberg

Publication date: 24 April 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.5063

zbMATH Keywords

stochastic integrals; approximation error; random grid; multidimensional stochastic differential equation; joint weak convergence; discrete option hedging; portfolio tracking error; random evaluation times

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G44: Martingales with continuous parameter

91G20: Derivative securities (option pricing, hedging, etc.)

60H05: Stochastic integrals

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

Related Items

Discretization error of irregular sampling approximations of stochastic integrals

Cites Work

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