Faculty of Economics and Business Administration Publications Database

Quadrature of smooth stochastic processes

Authors:
Source:
Volume: 87
Number: 3
Pages: 333 - 347
Month: September
Link External Source: Online Version
Year: 1991
Abstract:

The integral of a stochastic process is estimated by means of classical quadrature formulae. In contrast to certain conventional methods, knowledge of covariances is not required, and no regularity conditions are assumed. Explicit error representations and error bounds with respect to theLp-norm are established.

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