<i>L</i><sup>2</sup>-convergence rate for the discretization error of functions of Lévy process (Q5086496)
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scientific article; zbMATH DE number 7553644
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | <i>L</i><sup>2</sup>-convergence rate for the discretization error of functions of Lévy process |
scientific article; zbMATH DE number 7553644 |
Statements
<i>L</i><sup>2</sup>-convergence rate for the discretization error of functions of Lévy process (English)
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5 July 2022
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discretization error of stochastic integral
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hedging error
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Clark-Ocone formula
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discrete-time Clark-Ocone formula
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Sobolev differentiability
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