Error Distribution Of The Euler Approximation Scheme For Stochastic Volterra Integral Equations

2022/03/04 by David Nualart, Nualart, David, Bhargobjyoti Saikia +1 · 3 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2203.02460

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 (t-s)^α, where α∈ (-\frac 12, \frac 12).

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