Discretization error of irregular sampling approximations of stochastic integrals
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s11766-016-3426-8.pdf
Reference13 articles.
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3. T Hayashi, J Jacod, N Yoshida. Irregular sampling and central limit theorems for power variations: the continuous case, Ann Inst H Poincaré Probab Statist, 2011, 47: 1197–1218.
4. T Hayashi, P Mykland. Evaluating hedging errors: An asymptotic approach, Math Finance, 2005, 15: 309–343.
5. J Jacod. The Euler scheme for Lévy driven stochastic differential equations: limit theorems, Ann Probab, 2004, 32: 1830–1872.
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