On the moments of the modulus of continuity of itô processes

Stochastic Analysis and Applications

Volumn 28, Issue 1, 2009, Pages 103-122

  Fischer, Markus ^a,c   Nappo, Giovanna ^b  

^a UNIVERSITY OF HEIDELBERG   (Germany)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

^c BROWN UNIVERSITY   (United States)

Author keywords

Delay; Euler Maruyama scheme; Extreme values; Functional differential equation; It process; Modulus of continuity; Stochastic differential equation

Indexed keywords

EID: 77649103823     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362990903415825     Document Type: Article

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