Error Distribution Of The Euler Approximation Scheme For Stochastic Volterra Integral Equations
Probability
2022-04-18 v2
Abstract
The purpose of this paper is to establish the convergence in distribution of the normalized error in the Euler approximation scheme for stochastic Volterra equations driven by a standard Brownian motion, with a kernel of the form , where .
Keywords
Cite
@article{arxiv.2203.02460,
title = {Error Distribution Of The Euler Approximation Scheme For Stochastic Volterra Integral Equations},
author = {David Nualart and Bhargobjyoti Saikia},
journal= {arXiv preprint arXiv:2203.02460},
year = {2022}
}
Comments
36 pages