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

DOI10.1007/978-3-642-15217-7_10MaRDI QIDQ3086802zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3718249 (Why is no real title available?)
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• scientific article; zbMATH DE number 3223984 (Why is no real title available?)
• Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales
• Central limit theorems for sequences of multiple stochastic integrals
• 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 \({\mathbb{D}}^ 1)\)
• Elements of Stochastic Calculus via Regularization
• Ito formula for \(C^ 1\)-functions of semimartingales
• Limit distributions for the error in approximations of stochastic integrals
• On almost sure convergence results in stochastic calculus
• Stochastic calculus with respect to continuous finite quadratic variation processes
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Cited in

(3)

• On almost sure convergence results in stochastic calculus
• Uniform approximation for families of stochastic integrals
• scientific article; zbMATH DE number 4010824 (Why is no real title available?)

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