Some approximations of stochastic θ-integrals

被引：0
|
作者：
Lazakovich N.V. [1 ]
Stashulenok S.P. [1 ]
Yablonskii O.L. [1 ]
机构：
[1] Belorussian State University, 220050 Minsk
来源：
Lithuanian Mathematical Journal | 1999年 / 39卷 / 2期
关键词：
Approximation of stochastic θ-integrals; Brownian motion;
D O I：
10.1007/BF02469284
中图分类号：
学科分类号：
摘要：
In this paper, we consider problems of approximation of stochastic θ-integrals (θ) ∫0t f (B(s))dB(s) with respect to a Brownian motion by sums of the form Σk=1 p fn(Bnθ(tk-1)) [Bnθ(tk) - Bn θ(tk-1)], where the sequences {fn, n ∈ ℕ} and {Bnθ, n ∈ ℕ} are convolution-type approximations of the function f and Brownian motion B. © 1999 Kluwer Academic/Plenum Publishers.
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页码：196 / 202
页数：6
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