Optimal approximation rate of certain stochastic integrals

2009/01/19 by Seppälä, Heikki
#41A25 #60H05 #Classical Analysis and ODEs (math.CA) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.0901.2777

Abstract

Given an increasing function H:[0,1)→ [0,∞) and A_n(H):=inf_{τ∈ Tn}(∑_i=1ⁿ ∫_t_i-1^t_i (t_i-t)H²(t)dt)^1/2, where T_n:=\τ=(t_i)_i=0ⁿ: 0=t₀

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