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Efficient Discretization of Stochastic Integrals
Efficient Discretization of Stochastic Integrals Probability Computational Finance
2012/4/28
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a gene...
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization...