On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands

DOI10.1007/s10959-023-01272-7arXiv2209.06708MaRDI QIDQ6204803

Nourhan Shafik, Pauliina Ilmonen, Lauri Viitasaari, Ehsan Azmoodeh, Tommi Sottinen

Publication date: 2 April 2024

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.06708

zbMATH Keywords

discontinuous integrandsapproximation of stochastic integralsharp rate of convergencefractional Brownian motions and related processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Cites Work

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• On bifractional Brownian motion
• On fractional Ornstein-Uhlenbeck processes

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