Model-adaptive optimal discretization of stochastic integrals

DOI10.1080/17442508.2018.1539087zbMath1500.60029OpenAlexW2899096634MaRDI QIDQ5086427

Emmanuel Gobet, Uladzislau Stazhynski

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2018.1539087

zbMATH Keywords

asymptotic optimalitykernel techniquesdiscretization of stochastic integralsdiffusion coefficient estimationmodel-adaptive algorithms

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Cites Work

• Discretization error of stochastic integrals
• Minimax estimation of the diffusion coefficient through irregular samplings
• Optimal discretization of stochastic integrals driven by general Brownian semimartingale
• Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
• Almost sure optimal hedging strategy
• On estimating the diffusion coefficient from discrete observations
• On approximation of a class of stochastic integrals and interpolation
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