Discretization error of Stochastic Integrals
Discretization error of Stochastic Integrals
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DOI：
10.1214/10-aap730
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发表时间：
2010-04
影响因子：
1.8
通讯作者：
M. Fukasawa
中科院分区：
文献类型：
--
作者：
M. Fukasawa
研究了随机积分关于连续半鞅的一般随机分拆的黎曼和逼近的渐近误差分布。构造了渐近条件均方误差达到一个下界的有效离散格式。给出了两个应用实例;构造了有交易费用的有效Delta套期保值策略和Euler-Maruyama近似的有效离散化方案。
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional mean-squared error attains a lower bound are constructed. Two applications are given; efficient delta hedging strategies with transaction costs and effective discretization schemes for the Euler-Maruyama approximation are constructed.