Error distribution of the Euler approximation scheme for stochastic Volterra equations

David Nualart () and Bhargobjyoti Saikia ()
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David Nualart: University of Kansas
Bhargobjyoti Saikia: University of Kansas

Journal of Theoretical Probability, 2023, vol. 36, issue 3, 1829-1876

Abstract: Abstract The purpose of this paper is to establish the convergence in distribution of the normalized error in the Euler approximation scheme for stochastic Volterra equations driven by a standard Brownian motion, with a kernel of the form $$(t-s)^\alpha $$ ( t - s ) α , where $$\alpha \in \left( -\frac{1}{2}, \frac{1}{2}\right) $$ α ∈ - 1 2 , 1 2 .

Keywords: Stochastic Volterra equations; Euler approximation; Knight’s theorem; 60H20; 60F05 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10959-022-01222-9

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