Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866911977441329152 |
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| author | Ralchenko, Kostiantyn Shokrollahi, Foad Sottinen, Tommi |
| author_facet | Ralchenko, Kostiantyn Shokrollahi, Foad Sottinen, Tommi |
| contents | We establish the rate of convergence in the $L^1$-norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motion. Our findings extend the known results for the case when the driver is a fractional Brownian motion. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_02449 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands Ralchenko, Kostiantyn Shokrollahi, Foad Sottinen, Tommi Probability 60G15, 60G22, 62F12, 62M09 We establish the rate of convergence in the $L^1$-norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motion. Our findings extend the known results for the case when the driver is a fractional Brownian motion. |
| title | Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands |
| topic | Probability 60G15, 60G22, 62F12, 62M09 |
| url | https://arxiv.org/abs/2408.02449 |