Discretization error of stochastic integrals

DOI10.1214/10-AAP730zbMath1234.60024arXiv1004.2107MaRDI QIDQ640062

Masaaki Fukasawa

Publication date: 12 October 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.2107

zbMATH Keywords

stable convergence; Euler-Maruyama scheme; discrete hedging

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60H05: Stochastic integrals

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

60F17: Functional limit theorems; invariance principles

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