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WROCŁAW UNIVERSITY
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TECHNOLOGY

Contents of PMS, Vol. 11, Fasc. 1,
pages 109 - 120
 

QUANTITATIVE RESULTS ON MONOTONE APPROXIMATION OF STOCHASTIC PROCESSES

Michael Weba

Abstract: The rate of convergence of monotone approximation procedures for stochastic processes is studied. Several applications are discussed: discretizing time series, constructing solutions of linear stochastic differential equations and simulating distributions of continuous functionals.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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