Quantitative approximation of certain stochastic integrals |
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Authors: | Stefan Geiss |
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Affiliation: | Department of Mathematics and Statistics , University of Jyv?skyl? , P.O. BOX 35 (MAD), Jyv?skyl?, FIN-40351, Finland |
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Abstract: | We approximate certain stochastic integrals, typically appearing in Stochastic Finance, by stochastic integrals over integrands, which are path-wise constant within deterministic, but not necessarily equidistant, time intervals. We ask for rates of convergence if the approximation error is considered in L 2 . In particular, we show that by using non-equidistant time nets, in contrast to equidistant time nets, approximation rates can be improved considerably. |
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Keywords: | Stochastic Integral Quantitative Approximation |
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