Mean value theorems for stochastic integrals
type: Item
instance of: scholarly article
title: Mean value theorems for stochastic integrals
zbMATH Open document ID: 1021.60042
published in: The Annals of Probability
publication date: 2003-05-06T00:00:00Z
review text: The paper deals with the approximation of stochastic integrals in the Itô sense with integrals of piecewise constant processes. Negative Sobolev spaces are used to estimate the rate of the approximation of the distribution of the stochastic integral. The research was motivated by problems of numerical approximations in control theory. The results are applied to Bellman equations with `non-constant' coefficients. The paper continues former research of the author on this subject [St. Petersbg. Math. J. 9, 639-650 (1998) and Algebra Anal. 9, 245-256 (1997; Zbl 0902.65035)].
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 65M12
zbMATH DE Number: 1905984
zbMATH Keywords: stochastic integrals
zbMATH Keywords: stochastic control
zbMATH Keywords: numerical approximations
author: N. V. Krylov
reviewed by: Wolfgang Freudenberg
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aop/1008956335
OpenAlex ID: W2042371022
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DOI: 10.1214/AOP/1008956335
description: scientific article; zbMATH DE number 1905984