Mean value theorems for stochastic integrals
N. V. Krylov
Source: Ann. Probab. Volume 29, Number 1 (2001), 385-410.
Abstract
The distributions of stochastic integrals are approximated by the distributions of stochastic integrals of piece-wise constant processes. The rate of approximation in some negative Sobolev spaces is estimated. Generalizations are given for problems arising in control theory.
Primary Subjects: 93E20
Secondary Subjects: 65M12
Keywords: Stochastic integrals; stochastic control; numerical approximations
Full-text: Open access
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aop/1008956335
Mathematical Reviews number (MathSciNet):
MR1825155
Digital Object Identifier: doi:10.1214/aop/1008956335
Zentralblatt MATH identifier:
1021.60042
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