Prakasa Rao, B. L. S. ; Rubin, Herman (1998) Uniform approximation for families of stochastic integrals Sankhya - Series A, 60 (1). pp. 57-73. ISSN 0581-572X
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Official URL: http://www.jstor.org/pss/25051183
Abstract
Uniform approximations for families of stochastic integrals of Rubin-Fisk-Stratonovich type and Ito type are studied. It is shown that the approximants of Rubin-Fisk-Stratonovich type obtained from partitions of equal size converge faster to the corresponding stochastic integral than the approximants of Ito type for such partitions converge to the corresponding stochastic integral. Methods used for the study of families of stochastic integrals are of independent interest.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Indian Statistical Institute. |
| ID Code: | 37495 |
| Deposited On: | 26 Apr 2011 12:43 |
| Last Modified: | 26 Apr 2011 12:43 |
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