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dc.contributor.authorLuoto, Antti
dc.date.accessioned2020-09-10T10:29:47Z
dc.date.available2020-09-10T10:29:47Z
dc.date.issued2021
dc.identifier.citationLuoto, A. (2021). Time-dependent weak rate of convergence for functions of generalized bounded variation. <i>Stochastic Analysis and Applications</i>, <i>39</i>(3), 494-524. <a href="https://doi.org/10.1080/07362994.2020.1809458" target="_blank">https://doi.org/10.1080/07362994.2020.1809458</a>
dc.identifier.otherCONVID_41949122
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/71715
dc.description.abstractLet W denote the Brownian motion. For any exponentially bounded Borel function g the function u defined by u(t,x)=E[g(x+σWT−t)] is the stochastic solution of the backward heat equation with terminal condition g. Let un(t,x) denote the corresponding approximation generated by a simple symmetric random walk with time steps 2T/n and space steps ±σ√T/n where σ>0. For a class of terminal functions g having bounded variation on compact intervals, the rate of convergence of un(t,x) to u(t, x) is considered, and also the behavior of the error un(t,x)−u(t,x) as t tends to T.en
dc.format.mimetypeapplication/pdf
dc.languageeng
dc.language.isoeng
dc.publisherTaylor & Francis
dc.relation.ispartofseriesStochastic Analysis and Applications
dc.rightsCC BY 4.0
dc.subject.otherApproximation using simple random walk
dc.subject.otherweak rate of convergence
dc.subject.otherfinite difference approximation of the heat equation
dc.titleTime-dependent weak rate of convergence for functions of generalized bounded variation
dc.typearticle
dc.identifier.urnURN:NBN:fi:jyu-202009105821
dc.contributor.laitosMatematiikan ja tilastotieteen laitosfi
dc.contributor.laitosDepartment of Mathematics and Statisticsen
dc.type.urihttp://purl.org/eprint/type/JournalArticle
dc.description.reviewstatuspeerReviewed
dc.format.pagerange494-524
dc.relation.issn0736-2994
dc.relation.numberinseries3
dc.relation.volume39
dc.type.versionpublishedVersion
dc.rights.copyright© 2020 The Author(s). Published with license by Taylor and Francis Group, LLC
dc.rights.accesslevelopenAccessfi
dc.subject.ysonumeerinen analyysi
dc.subject.ysoosittaisdifferentiaaliyhtälöt
dc.subject.ysoapproksimointi
dc.subject.ysostokastiset prosessit
dc.format.contentfulltext
jyx.subject.urihttp://www.yso.fi/onto/yso/p15833
jyx.subject.urihttp://www.yso.fi/onto/yso/p12392
jyx.subject.urihttp://www.yso.fi/onto/yso/p4982
jyx.subject.urihttp://www.yso.fi/onto/yso/p11400
dc.rights.urlhttps://creativecommons.org/licenses/by/4.0/
dc.relation.doi10.1080/07362994.2020.1809458
jyx.fundinginformationThe author was financially supported by the Magnus Ehrnrooth Foundation and The FinnishCultural Foundation during the preparation of this article.


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