6533b873fe1ef96bd12d55d1
RESEARCH PRODUCT
Quantitative approximation of certain stochastic integrals
Stefan Geisssubject
Physics::Computational PhysicsMeasurable functionRate of convergenceApproximation errorPath integral formulationMathematical analysisEquidistantStochastic approximationConstant (mathematics)Brownian motionMathematicsdescription
We approximate certain stochastic integrals, typically appearing in Stochastic Finance, by stochastic integrals over integrands, which are path-wise constant within deterministic, but not necessarily equidistant, time intervals. We ask for rates of convergence if the approximation error is considered in L 2 . In particular, we show that by using non-equidistant time nets, in contrast to equidistant time nets, approximation rates can be improved considerably.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2002-01-01 | Stochastics and Stochastic Reports |