Optimal approximation rate of certain stochastic integrals

Details Optimal approximation rate of certain stochastic integrals Optimal approximation rate of certain stochastic integrals

2009-01-19

arxiv.org/abs/0901.2777v2

Mathematics

Probability

23 pages; typos corrected, minor changes

Scientific paper

Given an increasing function $H:[0,1)\to [0,\infty)$ and $$ A_n(H):=\inf_{\tau\in \mathcal{T}_n}(\sum_{i=1}^n \int_{t_{i-1}}^{t_i} (t_i-t)H^2(t)dt)^{{1/2}}, $$ where $\mathcal{T}_n:=\{\tau=(t_i)_{i=0}^n: 0=t_0

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