A Variable Step Size Riemannian Sum for an Itô Integral
نویسندگان
چکیده
منابع مشابه
A Variable Step Size Riemannian Sum for an Itô Integral
We investigate the problem of using a Riemannian sum with random subintervals to approximate the iterated Itô integral ∫ w dw—or, equivalently, solving the corresponding stochastic differential equation by Euler’s method with variable step sizes. In the past this task has been used as a counterexample to illustrate that variable step sizes must be used with extreme caution in stochastic numeric...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2008
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200004423