Convergence Rates for Approximations of Functionals of SDEs

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dc.creatorAvikainen, Rainer
dc.date2007-12-21
dc.date.accessioned2026-07-07T08:50:49Z
dc.date.available2026-07-07T08:50:49Z
dc.descriptionWe consider upper bounds for the approximation error E|g(X)-g(\hat X)|^p, where X and \hat X are random variables such that \hat X is an approximation of X in the L_p-norm, and the function g belongs to certain function classes, which contain e.g. functions of bounded variation. We apply the results to the approximations of a solution of a stochastic differential equation at time T by the Euler and Milstein schemes. For the Euler scheme we provide also a lower bound.
dc.description30 pages
dc.identifierhttps://arxiv.org/abs/0712.3635
dc.identifierhttp://arxiv.org/abs/0712.3635
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/144731
dc.subjectProbability
dc.subject60H10, 41A25, 26A45, 65C20, 65C30
dc.titleConvergence Rates for Approximations of Functionals of SDEs
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