Discretizing the fractional Lévy area

Stochastic Processes and their Applications

Volumn 120, Issue 2, 2010, Pages 223-254

  Neuenkirch, A ^a   Tindel, S ^b   Unterberger, J ^b  

^a TU DORTMUND UNIVERSITY   (Germany)

^b UNIVERSITÉ HENRI POINCARÉ NANCY 1   (France)

Author keywords

Asymptotic error distribution; Discretization schemes; Fractional Brownian motion; L vy area

Indexed keywords

CONVERGENCE RATES; DISCRETIZATION SCHEME; DISCRETIZATIONS; ERROR DISTRIBUTIONS; EULER DISCRETIZATION; EULER SCHEME; FRACTIONAL BROWNIAN MOTION; GAUSSIAN LIMIT; HURST PARAMETER; LIMIT DISTRIBUTION; ROOT MEAN SQUARE; SHARP BOUNDS; SUBINTERVALS;

ASYMPTOTIC ANALYSIS;

BROWNIAN MOVEMENT;

EID: 72549106449     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2009.10.007     Document Type: Article

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