AbstractGiven an increasing function H:[0,1)→[0,∞) and An(H)≔infτ∈Tn(∑i=1n∫ti−1ti(ti−t)H(t)2dt)12, where Tn≔{τ=(ti)i=0n:0=t0<t1<⋯<tn=1}, we characterize the property An(H)≤cn, and give conditions for An(H)≤cnβ and An(H)≥1cnβ for β∈(0,1), both in terms of integrability properties of H. These results are applied to the approximation of stochastic integrals
International audienceThis paper is devoted to the convergence analysis of stochastic approximation ...
AbstractIn this paper, we investigate the rate of convergence for general d-dimensional stochastic a...
This paper provides an introduction to stochastic calculus and stochastic differential equations, in...
AbstractGiven an increasing function H:[0,1)→[0,∞) and An(H)≔infτ∈Tn(∑i=1n∫ti−1ti(ti−t)H(t)2dt)12, w...
International audienceWe consider the convergence of the approximation schemes related to Itô's inte...
AbstractWe construct a family Inε(f)t of continuous stochastic processes that converges in the sense...
AbstractDiscretisation methods to simulate stochastic differential equations belong to the main tool...
AbstractThe paper studies the rate of convergence of the weak Euler approximation for solutions to S...
We present two methods on how to compute the distribution of an Itô diffusion at the first moment it...
AbstractWe study a discrete-time approximation for solutions of systems of decoupled Forward–Backwar...
AbstractAssuming that {(Un,Vn)} is a sequence of càdlàg processes converging in distribution to (U,V...
http://www.math.washington.edu/~ejpecp/We study the limit of functionals of stochastic processes for...
International audienceWe consider the convergence of the approximation schemes related to Itô's inte...
In this paper we present a result on convergence of approximate solutions of stochastic differential...
AbstractThe subject of this paper is an analytic approximate method for stochastic functional differ...
International audienceThis paper is devoted to the convergence analysis of stochastic approximation ...
AbstractIn this paper, we investigate the rate of convergence for general d-dimensional stochastic a...
This paper provides an introduction to stochastic calculus and stochastic differential equations, in...
AbstractGiven an increasing function H:[0,1)→[0,∞) and An(H)≔infτ∈Tn(∑i=1n∫ti−1ti(ti−t)H(t)2dt)12, w...
International audienceWe consider the convergence of the approximation schemes related to Itô's inte...
AbstractWe construct a family Inε(f)t of continuous stochastic processes that converges in the sense...
AbstractDiscretisation methods to simulate stochastic differential equations belong to the main tool...
AbstractThe paper studies the rate of convergence of the weak Euler approximation for solutions to S...
We present two methods on how to compute the distribution of an Itô diffusion at the first moment it...
AbstractWe study a discrete-time approximation for solutions of systems of decoupled Forward–Backwar...
AbstractAssuming that {(Un,Vn)} is a sequence of càdlàg processes converging in distribution to (U,V...
http://www.math.washington.edu/~ejpecp/We study the limit of functionals of stochastic processes for...
International audienceWe consider the convergence of the approximation schemes related to Itô's inte...
In this paper we present a result on convergence of approximate solutions of stochastic differential...
AbstractThe subject of this paper is an analytic approximate method for stochastic functional differ...
International audienceThis paper is devoted to the convergence analysis of stochastic approximation ...
AbstractIn this paper, we investigate the rate of convergence for general d-dimensional stochastic a...
This paper provides an introduction to stochastic calculus and stochastic differential equations, in...
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