메뉴 건너뛰기




Volumn 144, Issue 2, 2007, Pages 213-232

Interpolation and approximation in L2 (γ)

Author keywords

Besov spaces; Real interpolation; Stochastic approximation

Indexed keywords


EID: 33846580214     PISSN: 00219045     EISSN: 10960430     Source Type: Journal    
DOI: 10.1016/j.jat.2006.06.001     Document Type: Article
Times cited : (20)

References (18)
  • 1
    • 0030560429 scopus 로고    scopus 로고
    • The law of the Euler scheme for stochastic differential equations I. Convergence rate of the distribution function
    • Bally V., and Talay D. The law of the Euler scheme for stochastic differential equations I. Convergence rate of the distribution function. Probab. Theory Related Fields 104 (1996) 43-60
    • (1996) Probab. Theory Related Fields , vol.104 , pp. 43-60
    • Bally, V.1    Talay, D.2
  • 2
    • 0002308425 scopus 로고    scopus 로고
    • The law of the Euler scheme for stochastic differential equations II. Convergence rate of the density
    • Bally V., and Talay D. The law of the Euler scheme for stochastic differential equations II. Convergence rate of the density. Monte Carlo Methods Appl. 2 (1996) 93-128
    • (1996) Monte Carlo Methods Appl. , vol.2 , pp. 93-128
    • Bally, V.1    Talay, D.2
  • 5
    • 17444423134 scopus 로고    scopus 로고
    • On approximation of a class of stochastic integrals and interpolation
    • Geiss C., and Geiss S. On approximation of a class of stochastic integrals and interpolation. Stochastics Stochastics Reports 76 (2004) 339-362
    • (2004) Stochastics Stochastics Reports , vol.76 , pp. 339-362
    • Geiss, C.1    Geiss, S.2
  • 6
    • 31344460406 scopus 로고    scopus 로고
    • On an approximation problem for stochastic integrals where random time nets do not help
    • Geiss C., and Geiss S. On an approximation problem for stochastic integrals where random time nets do not help. Stochasic Process. Appl. 116 (2006) 407-422
    • (2006) Stochasic Process. Appl. , vol.116 , pp. 407-422
    • Geiss, C.1    Geiss, S.2
  • 7
    • 17444391991 scopus 로고    scopus 로고
    • Quantitative approximation of certain stochastic integrals
    • Geiss S. Quantitative approximation of certain stochastic integrals. Stochastics Stochastics Reports 73 (2002) 241-270
    • (2002) Stochastics Stochastics Reports , vol.73 , pp. 241-270
    • Geiss, S.1
  • 8
    • 17444420363 scopus 로고    scopus 로고
    • Weighted BMO and discrete time hedging within the Black-Scholes model
    • Geiss S. Weighted BMO and discrete time hedging within the Black-Scholes model. Probab. Theory Related Fields 132 (2005) 13-38
    • (2005) Probab. Theory Related Fields , vol.132 , pp. 13-38
    • Geiss, S.1
  • 9
    • 12144253010 scopus 로고    scopus 로고
    • Discrete time hedging errors for options with irregular payoffs
    • Gobet E., and Temam E. Discrete time hedging errors for options with irregular payoffs. Finance and Stochastics 5 (2001) 357-367
    • (2001) Finance and Stochastics , vol.5 , pp. 357-367
    • Gobet, E.1    Temam, E.2
  • 10
    • 0042579461 scopus 로고    scopus 로고
    • Lipschitz functions and fractional Sobolev spaces
    • Hirsch F. Lipschitz functions and fractional Sobolev spaces. Potential Anal. 11 (1999) 415-429
    • (1999) Potential Anal. , vol.11 , pp. 415-429
    • Hirsch, F.1
  • 11
    • 33846636938 scopus 로고    scopus 로고
    • M. Hujo, Is the approximation rate for certain stochastic integrals always 1 / sqrt(n)? J. Theoret. Probab. (2006), to appear.
  • 12
    • 33846590124 scopus 로고    scopus 로고
    • P.E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Applications of Mathematics, vol. 23, Springer, Berlin, 1992, 1995.
  • 13
    • 0028706702 scopus 로고
    • Variance reduction for simulated diffusions
    • Newton N.J. Variance reduction for simulated diffusions. SIAM J. Appl. Math. 54 6 (1994) 1780-1805
    • (1994) SIAM J. Appl. Math. , vol.54 , Issue.6 , pp. 1780-1805
    • Newton, N.J.1
  • 17
    • 21144474777 scopus 로고
    • Fractional order Sobolev spaces on Wiener space
    • Watanabe S. Fractional order Sobolev spaces on Wiener space. Probab. Theory Related Fields 95 (1993) 175-198
    • (1993) Probab. Theory Related Fields , vol.95 , pp. 175-198
    • Watanabe, S.1
  • 18
    • 33846626494 scopus 로고    scopus 로고
    • R. Zhang, Couverture approchée des options Européennes, Ph.D. Thesis, Ecole Nationale des Ponts et Chaussées, Paris, 1998.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.