Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands

Kuvaus

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We establish the rate of convergence in the L1 -norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motion. Our findings extend the known results for the case when the driver is a fractional Brownian motion.

Emojulkaisu

ISBN

ISSN

1572-9230
0894-9840

Aihealue

Kausijulkaisu

Journal of Theoretical Probability|38

OKM-julkaisutyyppi

A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä