Optimal approximation rate of certain stochastic integrals
Probability
2009-09-17 v2 Classical Analysis and ODEs
Abstract
Given an increasing function and where , we characterize the property , and give conditions for and for , both in terms of integrability properties of . 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