On the speed of convergence of Piterbarg constants

Krzysztof Bisewski () and Grigori Jasnovidov ()
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Krzysztof Bisewski: University of Lausanne, UNIL-Dorigny
Grigori Jasnovidov: Department of Steklov Mathematical Institute of Russian Academy of Sciences, 27 Fontanka

Queueing Systems: Theory and Applications, 2023, vol. 105, issue 1, No 6, 129-137

Abstract: Abstract In this paper, we derive an upper bound for the difference between the continuous and discrete Piterbarg constants. Our result allows us to approximate the classical Piterbarg constants by their discrete counterparts using Monte Carlo simulations with an explicit error rate.

Keywords: Fractional Brownian motion; Piterbarg constants; Discretization error; Monte Carlo simulation; 60G15; 60G70; 65C05 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11134-023-09882-y

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