Optimal approximation of stochastic integrals in analytic noise model

Andrzej Kałuża, Paweł M. Morkisz and Paweł Przybyłowicz

Applied Mathematics and Computation, 2019, vol. 356, issue C, 74-91

Abstract: We study approximate stochastic Itô integration of processes belonging to a class of progressively measurable stochastic processes that are Hölder continuous in the rth mean.

Keywords: Wiener process; Noisy information; Analytic noise model; Optimal approximation; Minimal error; GPUs (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:356:y:2019:i:c:p:74-91

DOI: 10.1016/j.amc.2019.03.022

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