Faculty of Economics and Business Administration Publications Database

Quantitative Results on Monotone Approximation of Stochastic Processes

Authors:
Source:
Volume: 11
Number: 1
Pages: 109 - 120
Link External Source: Online Version
Year: 1990
Abstract:

The rate of convergence of monotone approximation procedures for stochastic processes is studied. Several applications are discussed: discretizing time series, constructing solutions of linear stochastic differential equations and simulating distributions of continuous functionals.

back