Discretization error of irregular sampling approximations of stochastic integrals

DOI10.1007/S11766-016-3426-8MaRDI QIDQ2362940zbMATH OpenOpenAlexFDO

Authors Likai Zhou, Zhonggen Su

Publication date 14 July 2017

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-016-3426-8

zbMATH Keywords

Euler schemehedging errorirregular samplingstochastic integralweak convergence

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Asymptotic error distributions for the Euler method for stochastic differential equations
• Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales
• Discretization error of stochastic integrals
• Discretization of processes.
• Error distributions for random grid approximations of multidimensional stochastic integrals
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Irregular sampling and central limit theorems for power variations: the continuous case
• Limit distributions for the error in approximations of stochastic integrals
• The Euler scheme for a stochastic differential equation driven by pure jump semimartingales
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(5)

• Metric duality between positive definite kernels and boundary processes
• Error distributions for random grid approximations of multidimensional stochastic integrals
• Reproducing kernels: harmonic analysis and some of their applications
• The asymptotic expansion of the regular discretization error of Itô integrals
• Discretization error of stochastic integrals

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