English

Optimal approximation rate of certain stochastic integrals

Probability 2009-09-17 v2 Classical Analysis and ODEs

Abstract

Given an increasing function H:[0,1)[0,)H:[0,1)\to [0,\infty) and An(H):=infτTn(i=1nti1ti(tit)H2(t)dt)1/2, A_n(H):=\inf_{\tau\in \mathcal{T}_n}(\sum_{i=1}^n \int_{t_{i-1}}^{t_i} (t_i-t)H^2(t)dt)^{{1/2}}, where Tn:={τ=(ti)i=0n:0=t0<t1<...<tn=1}\mathcal{T}_n:=\{\tau=(t_i)_{i=0}^n: 0=t_0<t_1<...<t_n=1\}, we characterize the property An(H)cnA_n(H)\leq \frac{c}{\sqrt{n}}, and give conditions for An(H)cnβA_n(H)\leq \frac{c}{\sqrt{n^\beta}} and An(H)1cnβA_n(H)\geq \frac{1}{c\sqrt{n^\beta}} for β(0,1)\beta\in (0,1), both in terms of integrability properties of HH. These results are applied to the approximation of certain stochastic integrals.

Keywords

Cite

@article{arxiv.0901.2777,
  title  = {Optimal approximation rate of certain stochastic integrals},
  author = {Heikki Seppälä},
  journal= {arXiv preprint arXiv:0901.2777},
  year   = {2009}
}

Comments

23 pages; typos corrected, minor changes

R2 v1 2026-06-21T12:02:19.277Z