Error distribution of the Euler approximation scheme for stochastic Volterra equations

被引：1
|
作者：
Nualart, David [1 ]
Saikia, Bhargobjyoti [1 ]
机构：
[1] Univ Kansas, Dept Math, 1450 Jayhawk Blvd, Lawrence, KS 66045 USA
来源：
JOURNAL OF THEORETICAL PROBABILITY | 2023年 / 36卷 / 03期
关键词：
Stochastic Volterra equations; Euler approximation; Knight's theorem;
D O I：
10.1007/s10959-022-01222-9
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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), where alpha E (-1/2, 1/2).
引用
收藏
页码：1829 / 1876
页数：48
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