Some approximations of stochastic θ-integrals
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Abstract
In this paper, we consider problems of approximation of stochastic θ-integrals (θ)∫ 0 t f(B(s))dB(s) with respect to a Brownian motion by sums of the form ∑ k=1 p fn(B n θ (tk-1))[B n θ (tk)-B n θ (tk-1], where the sequences {fn,n∈∕#x007D; and {[B n θ ,n∈∕} are convolution-type approximations of the functionf and Brownian motionB.
Key words
approximation of stochastic θ-integrals Brownian motionPreview
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© Kluwer Academic/Plenum Publishers 1999