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Stochastic Calculus for a Time-Changed Semimartingale and the Associated Stochastic Differential Equations

โœ Scribed by Kobayashi, Kei (author)


Book ID
106437028
Publisher
Springer US
Year
2010
Tongue
English
Weight
960 KB
Volume
24
Category
Article
ISSN
0894-9840

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โœ Vlad Bally; Denis Talay ๐Ÿ“‚ Article ๐Ÿ“… 1995 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 304 KB

We study the approximation problem of Ef(Xr) by Ef(X~.), where (Xt) is the solution of a stochastic differential equation, (X~) is defined by the Euler discretization scheme with step T/n, and f is a given function. For smooth f's, Talay and Tubaro had shown that the error Ef(Xr) -Ef(X~) can be expa