Convergence Rates for Approximations of Functionals of SDEs

Details Convergence Rates for Approximations of Functionals of SDEs Convergence Rates for Approximations of Functionals of SDEs

2007-12-21

arxiv.org/abs/0712.3635v1

Mathematics

Probability

30 pages

Scientific paper

We consider upper bounds for the approximation error E|g(X)-g(\hat X)|^p, where X and \hat X are random variables such that \hat X is an approximation of X in the L_p-norm, and the function g belongs to certain function classes, which contain e.g. functions of bounded variation. We apply the results to the approximations of a solution of a stochastic differential equation at time T by the Euler and Milstein schemes. For the Euler scheme we provide also a lower bound.

Affiliated with

Also associated with

No associations

Rating

Convergence Rates for Approximations of Functionals of SDEs does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Convergence Rates for Approximations of Functionals of SDEs, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Convergence Rates for Approximations of Functionals of SDEs will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-696429