Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
Probability
2024-08-06 v1
Abstract
We establish the rate of convergence in the -norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motion. Our findings extend the known results for the case when the driver is a fractional Brownian motion.
Keywords
Cite
@article{arxiv.2408.02449,
title = {Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands},
author = {Kostiantyn Ralchenko and Foad Shokrollahi and Tommi Sottinen},
journal= {arXiv preprint arXiv:2408.02449},
year = {2024}
}
Comments
25 pages