Higher-Order Error Estimates of the Discrete-Time Clark–Ocone Formula
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s10959-021-01134-0.pdf
Reference23 articles.
1. Akahori, J., Amaba, T., Okuma, K.: A discrete-time Clark-Ocone formula and its application to an error analysis. J. Theor. Probab. 30, 932–960 (2017)
2. Akahori, J., Kinuya, M., Sawai, T., Yuasa, T.: An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables. Math. Comput. Simulation 187, 540–565 (2021)
3. Amaba, T.: A discrete-time Clark-Ocone formula for Poisson functionals. Asia-Pacific Finan. Market. 21(2), 97–120 (2014)
4. Amaba, T., Liu, N.-L., Makhlouf, A., Saidaoui, T.: $$L2$$-convergence rate for the discretization error of functions of Lévy process. Stochastics 92(4), 1–29 (2020)
5. Belomestny, D., Häfner, S., Nagapetyan, T., Urusov, M.: Variance reduction for discretised diffusions via regression. J. Math. Anal. 458, 393–418 (2018)
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