Approximating multiple itô integrals with "band limited" processes
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Publication:3681667
DOI10.1080/17442508408833334zbMath0566.60053MaRDI QIDQ3681667
Publication date: 1985
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508408833334
60F05: Central limit and other weak theorems
60H05: Stochastic integrals
62M02: Markov processes: hypothesis testing
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Cites Work
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- Semigroups of conditioned shifts and approximation of Markov processes
- A martingale method for the convergence of a sequence of processes to a jump-diffusion process
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- On the Approximation of Ito Integrals Using Band-Limited Processes