Optimal Approximation of the Second Iterated Integral of Brownian Motion (Q5421610)
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scientific article; zbMATH DE number 5204520
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Approximation of the Second Iterated Integral of Brownian Motion |
scientific article; zbMATH DE number 5204520 |
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Optimal Approximation of the Second Iterated Integral of Brownian Motion (English)
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24 October 2007
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Gaussian Hilbert space
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Wiener chaos decomposition
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second iterated integral
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strong convergence
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stochastic differential equations
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Itô diffusion
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Brownian motion
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Wiener process
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Euler-Maruyama method
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Karhunen-Loéve expansion
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