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 convergenceEuler-Maruyama schemediscrete hedging

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Functional limit theorems; invariance principles (60F17)

Related Items (16)

A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ Discretization error of irregular sampling approximations of stochastic integrals ⋮ Optimal discretization of stochastic integrals driven by general Brownian semimartingale ⋮ Model-adaptive optimal discretization of stochastic integrals ⋮ Efficient discretisation of stochastic differential equations ⋮ The asymptotic expansion of the regular discretization error of Itô integrals ⋮ Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics ⋮ Parametric inference for diffusions observed at stopping times ⋮ Error distributions for random grid approximations of multidimensional stochastic integrals ⋮ Efficient discretization of stochastic integrals ⋮ Asymptotic results for time-changed Lévy processes sampled at hitting times ⋮ Central limit theorems for realized volatility under hitting times of an irregular grid ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ Almost sure optimal hedging strategy ⋮ Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion ⋮ On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space

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