Discretization Error of Stochastic Iterated Integrals Article Swipe
Yuping Song
,
Hanchao Wang
·
YOU?
·
· 2017
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.1704.04894
YOU?
·
· 2017
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.1704.04894
In this paper, the weak convergence about the discretization error of stochastic iterated integrals in the Skorohod sense are studied, while the integrands and integrators of iterated integrals are supposed to be semimartingales with jumps. We explored the rate of convergence of its approximation based on the asymptotic behaviors of the associated normalized error and obtained that the rate is $1/n$ when the driving process is semimartingale with a nonvanishing continuous martingale component. As an application, we also studied the discretization of the Doléans-Dade exponential.
Related Topics
Concepts
Semimartingale
Mathematics
Discretization
Discretization error
Iterated function
Rate of convergence
Applied mathematics
Martingale (probability theory)
Integrator
Exponential function
Weak convergence
Mathematical analysis
Computer science
Bandwidth (computing)
Computer network
Asset (computer security)
Channel (broadcasting)
Computer security
Metadata
- Type
- preprint
- Language
- en
- Landing Page
- http://arxiv.org/abs/1704.04894
- https://arxiv.org/pdf/1704.04894
- OA Status
- green
- Cited By
- 1
- References
- 14
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W2606895582
All OpenAlex metadata
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- OpenAlex ID
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https://openalex.org/W2606895582Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.48550/arxiv.1704.04894Digital Object Identifier
- Title
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Discretization Error of Stochastic Iterated IntegralsWork title
- Type
-
preprintOpenAlex work type
- Language
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enPrimary language
- Publication year
-
2017Year of publication
- Publication date
-
2017-04-17Full publication date if available
- Authors
-
Yuping Song, Hanchao WangList of authors in order
- Landing page
-
https://arxiv.org/abs/1704.04894Publisher landing page
- PDF URL
-
https://arxiv.org/pdf/1704.04894Direct link to full text PDF
- Open access
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YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
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https://arxiv.org/pdf/1704.04894Direct OA link when available
- Concepts
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Semimartingale, Mathematics, Discretization, Discretization error, Iterated function, Rate of convergence, Applied mathematics, Martingale (probability theory), Integrator, Exponential function, Weak convergence, Mathematical analysis, Computer science, Bandwidth (computing), Computer network, Asset (computer security), Channel (broadcasting), Computer securityTop concepts (fields/topics) attached by OpenAlex
- Cited by
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1Total citation count in OpenAlex
- Citations by year (recent)
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2019: 1Per-year citation counts (last 5 years)
- References (count)
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14Number of works referenced by this work
- Related works (count)
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10Other works algorithmically related by OpenAlex
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