Discretization error of irregular sampling approximations of stochastic integrals

DOI10.1007/s11766-016-3426-8zbMath1374.60099OpenAlexW2517554825MaRDI QIDQ2362940

Zhonggen Su, Likai Zhou

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

weak convergencestochastic integralEuler schemeirregular samplinghedging error

Mathematics Subject Classification ID

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

Related Items

Reproducing kernels: harmonic analysis and some of their applications, Metric duality between positive definite kernels and boundary processes

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