On irregular functionals of SDEs and the Euler scheme

We prove a sharp upper bound for the error in terms of moments of , where X and are random variables and the function g is a function of bounded variation. We apply the results to the approximation of a solution to a stochastic differential equation at time T by the Euler scheme, and show that the a...

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Veröffentlicht in:	Finance and stochastics 2009-09, Vol.13 (3), p.381-401
1. Verfasser:	Avikainen, Rainer
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Brownian motion Economic Theory/Quantitative Economics/Mathematical Methods Economics Finance Inequality Insurance Management Mathematical functions Mathematics Mathematics and Statistics Probability Theory and Stochastic Processes Quantitative Finance Random variables Statistics for Business
Online-Zugang:	Volltext
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