Discretization error of irregular sampling approximations of stochastic integrals
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Publication:2362940
DOI10.1007/S11766-016-3426-8zbMATH Open1374.60099OpenAlexW2517554825MaRDI QIDQ2362940FDOQ2362940
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
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Cites Work
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- Weak limit theorems for stochastic integrals and stochastic differential equations
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Discretization of processes.
- Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales
- Irregular sampling and central limit theorems for power variations: the continuous case
- The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
- Limit distributions for the error in approximations of stochastic integrals
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Discretization error of stochastic integrals
- The Euler scheme for a stochastic differential equation driven by pure jump semimartingales
- Error distributions for random grid approximations of multidimensional stochastic integrals
Cited In (5)
- Metric duality between positive definite kernels and boundary processes
- Reproducing kernels: harmonic analysis and some of their applications
- Discretization error of stochastic integrals
- The asymptotic expansion of the regular discretization error of Itô integrals
- Error distributions for random grid approximations of multidimensional stochastic integrals
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