Convergence at first and second order of some approximations of stochastic integrals

DOI10.1007/978-3-642-15217-7_10zbMATH Open1218.60045OpenAlexW61285389MaRDI QIDQ3086802FDOQ3086802

Authors: Blandine Bérard Bergery, Pierre Vallois 

Publication date: 30 March 2011

Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15217-7_10

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zbMATH Keywords

regularizationquadratic variationstochastic integrationstochastic Fubini theoremfirst and second order convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Cites Work

• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Central limit theorems for sequences of multiple stochastic integrals
• Title not available (Why is that?)
• Limit distributions for the error in approximations of stochastic integrals
• Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales
• Ito formula for \(C^ 1\)-functions of semimartingales
• Elements of Stochastic Calculus via Regularization
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• The generalized covariation process and Itô formula
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Title not available (Why is that?)
• On almost sure convergence results in stochastic calculus

Cited In (3)

• Title not available (Why is that?)
• Uniform approximation for families of stochastic integrals
• On almost sure convergence results in stochastic calculus

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