Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands

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annif.suggestionsmathematics|stochastic processes|probability calculation|integral calculus|motion|differential equations|fractions|Markov chains|Gaussian processes|dynamical systems|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p3160|http://www.yso.fi/onto/yso/p11400|http://www.yso.fi/onto/yso/p4746|http://www.yso.fi/onto/yso/p7857|http://www.yso.fi/onto/yso/p706|http://www.yso.fi/onto/yso/p3552|http://www.yso.fi/onto/yso/p19541|http://www.yso.fi/onto/yso/p13075|http://www.yso.fi/onto/yso/p38750|http://www.yso.fi/onto/yso/p38899en
dc.contributor.authorRalchenko, Kostiantyn
dc.contributor.authorShokrollahi, Foad
dc.contributor.authorSottinen, Tommi
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.orcidhttps://orcid.org/0000-0001-7208-3130-
dc.contributor.orcidhttps://orcid.org/0000-0003-1434-0949-
dc.contributor.orcidhttps://orcid.org/0000-0002-9983-9708-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2025-06-24T04:53:47Z
dc.date.accessioned2025-06-25T12:20:38Z
dc.date.available2025-06-24T04:53:47Z
dc.date.issued2025-05-23
dc.description.abstractWe 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.-
dc.description.notification© The Author(s) 2025. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent26-
dc.identifier.olddbid24164
dc.identifier.oldhandle10024/19916
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/79
dc.identifier.urnURN:NBN:fi-fe2025062472886-
dc.language.isoeng-
dc.publisherSpringer-
dc.relation.doi10.1007/s10959-025-01422-z-
dc.relation.funderResearch Council of Finland-
dc.relation.funderUniversity of Vaasa-
dc.relation.grantnumber359815-
dc.relation.ispartofjournalJournal of Theoretical Probability-
dc.relation.issn1572-9230-
dc.relation.issn0894-9840-
dc.relation.issue3-
dc.relation.urlhttps://doi.org/10.1007/s10959-025-01422-z-
dc.relation.volume38-
dc.rightsCC BY 4.0-
dc.source.identifierWOS:001493864000001-
dc.source.identifier2-s2.0-105005791680-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/19916
dc.subjectApproximation of stochastic integral-
dc.subjectDiscontinuous integrands-
dc.subjectRate of convergence-
dc.subjectMultifractional Brownian motions-
dc.subject60G15-
dc.subject60G22-
dc.subject62F12-
dc.subject62M09-
dc.subject.disciplinefi=Matematiikka|en=Mathematics|-
dc.titleDiscretization of integrals driven by multifractional Brownian motions with discontinuous integrands-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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