Optimal discretization of stochastic integrals driven by general Brownian semimartingale

DOI10.1214/17-AIHP848zbMath1404.60055OpenAlexW2767591718MaRDI QIDQ1621716

Emmanuel Gobet, Uladzislau Stazhynski

Publication date: 9 November 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aihp/1531296029

zbMATH Keywords

hitting timesalmost sure convergencerandom ellipsoidsdiscretization of stochastic integrals

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)

Related Items (2)

Model-adaptive optimal discretization of stochastic integrals ⋮ Parametric inference for diffusions observed at stopping times

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On stochastic differential equations with arbitrary slow convergence rates for strong approximation
• Optimization of joint \(p\)-variations of Brownian semimartingales
• Discretization error of stochastic integrals
• Discretization of processes.
• Limit distributions for the error in approximations of stochastic integrals
• Weak limit theorems for stochastic integrals and stochastic differential equations
• A survey and some generalizations of Bessel processes
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• Loss of regularity for Kolmogorov equations
• Almost sure optimal hedging strategy
• Asymptotically Efficient Discrete Hedging
• On approximation of a class of stochastic integrals and interpolation
• The optimal discretization of stochastic differential equations

This page was built for publication: Optimal discretization of stochastic integrals driven by general Brownian semimartingale