On fractional smoothness and approximations of stochastic integrals
Publisher
University of JyväskyläISBN
978-951-39-3734-8ISSN Search the Publication Forum
1457-8905Keywords
Metadata
Show full item recordCollections
- Väitöskirjat [3411]
Related items
Showing items with similar title or keywords.
-
Approximation of heat equation and backward SDEs using random walk : convergence rates
Luoto, Antti (University of Jyväskylä, 2018)This thesis addresses questions related to approximation arising from the fields of stochastic analysis and partial differential equations. Theoretical results regarding convergence rates are obtained by using discretization ... -
On Malliavin calculus and approximation of stochastic integrals for Lévy processes
Laukkarinen, Eija (University of Jyväskylä, 2012) -
On the approximation of stochastic integrals
Hujo, Mika (University of Jyväskylä, 2005) -
Asymptotic Hölder regularity for the ellipsoid process
Arroyo, Ángel; Parviainen, Mikko (EDP Sciences, 2020)We obtain an asymptotic Hölder estimate for functions satisfying a dynamic programming principle arising from a so-called ellipsoid process. By the ellipsoid process we mean a generalization of the random walk where the ... -
Random walk approximation of BSDEs with Hölder continuous terminal condition
Geiss, Christel; Labart, Céline; Luoto, Antti (International Statistical Institute, 2020)In this paper, we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally Hölder continuous function of the Brownian motion. We state the rate of the L2-convergence ...