Lithuanian Mathematical Journal

, Volume 39, Issue 2, pp 196–202 | Cite as

Some approximations of stochastic θ-integrals

  • N. V. Lazakovich
  • S. P. Stashulenok
  • O. L. Yablonskii


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 motion 


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Copyright information

© Kluwer Academic/Plenum Publishers 1999

Authors and Affiliations

  • N. V. Lazakovich
  • S. P. Stashulenok
  • O. L. Yablonskii

There are no affiliations available

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