Abstract
This paper studies the limit distributions for discretization error of irregular sampling approximations of stochastic integral. The irregular sampling approximation was first presented in Hayashi et al.[3], which was more general than the sampling approximation in Lindberg and Rootzén [10]. As applications, we derive the asymptotic distribution of hedging error and the Euler scheme of stochastic differential equation respectively.
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Supported by the National Natural Science Foundation of China (11371317).
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Zhou, Lk., Su, Zg. Discretization error of irregular sampling approximations of stochastic integrals. Appl. Math. J. Chin. Univ. 31, 296–306 (2016). https://doi.org/10.1007/s11766-016-3426-8
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DOI: https://doi.org/10.1007/s11766-016-3426-8