On the complexity of stochastic integration
Work
Year: 2000
Type: article
Abstract: We study the complexity of approximating stochastic integrals with error $\varepsilon$ for various classes of functions. For Ito integration, we show that the complexity is of order $\varepsilon ^{-1}... more
Source: Mathematics of Computation
Authors G.W. Wasilkowski, H. Woźniakowski
Institutions University of Kentucky, University of Warsaw
Cites: 14
Cited by: 19
Related to: 10
FWCI: 0.571
Citation percentile (by year/subfield): 78.43
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze