Search results for "Stochastic integrals"
showing 5 items of 5 documents
On fractional smoothness and approximations of stochastic integrals
2009
On an approximation problem for stochastic integrals where random time nets do not help
2006
Abstract Given a geometric Brownian motion S = ( S t ) t ∈ [ 0 , T ] and a Borel measurable function g : ( 0 , ∞ ) → R such that g ( S T ) ∈ L 2 , we approximate g ( S T ) - E g ( S T ) by ∑ i = 1 n v i - 1 ( S τ i - S τ i - 1 ) where 0 = τ 0 ⩽ ⋯ ⩽ τ n = T is an increasing sequence of stopping times and the v i - 1 are F τ i - 1 -measurable random variables such that E v i - 1 2 ( S τ i - S τ i - 1 ) 2 ∞ ( ( F t ) t ∈ [ 0 , T ] is the augmentation of the natural filtration of the underlying Brownian motion). In case that g is not almost surely linear, we show that one gets a lower bound for the L 2 -approximation rate of 1 / n if one optimizes over all nets consisting of n + 1 stopping time…
On fractional smoothness and Lp-approximation on the Wiener space
2015
On the optimal approximation rate of certain stochastic integrals
2010
AbstractGiven an increasing function H:[0,1)→[0,∞) and An(H)≔infτ∈Tn(∑i=1n∫ti−1ti(ti−t)H(t)2dt)12, where Tn≔{τ=(ti)i=0n:0=t0<t1<⋯<tn=1}, we characterize the property An(H)≤cn, and give conditions for An(H)≤cnβ and An(H)≥1cnβ for β∈(0,1), both in terms of integrability properties of H. These results are applied to the approximation of stochastic integrals.