On strong causal binomial approximation for stochastic processes

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On strong causal binomial approximation for stochastic processes

This paper considers binomial approximation of continuous time stochastic processes. It is shown that, under some mild integrability conditions, a process can be approximated in mean square sense and in other strong metrics by binomial processes, i.e., by processes with fixed size binary increments...

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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	American Institute of Mathematical Sciences 2014
Subjects:	incomplete market stochastic processes Donsker Theorem binomial approximation complete market discretisation of Ito equations
Online Access:	http://hdl.handle.net/20.500.11937/27706

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