On the speed of convergence of Piterbarg constants
Probability
2023-01-09 v2
Abstract
In this paper we derive an upper bound for the difference between the continuous and discrete Piterbarg constants. Our result allows us to approximate the classical Piterbarg constants by their discrete counterparts using Monte Carlo simulations with an explicit error rate
Keywords
Cite
@article{arxiv.2209.13972,
title = {On the speed of convergence of Piterbarg constants},
author = {Krzysztof Bisewski and Grigori Jasnovidov},
journal= {arXiv preprint arXiv:2209.13972},
year = {2023}
}