{
  "id": "1004.2107",
  "version": "v1",
  "published": "2010-04-13T04:26:27.000Z",
  "updated": "2010-04-13T04:26:27.000Z",
  "title": "Discretization error of Stochastic Integrals",
  "authors": [
    "Masaaki Fukasawa"
  ],
  "categories": [
    "math.PR",
    "q-fin.CP"
  ],
  "abstract": "Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional mean-squared error attains a lower bound are constructed. Two applications are given; efficient delta hedging strategies with transaction costs and effective discretization schemes for the Euler-Maruyama approximation are constructed.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2010-04-13T04:26:27.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60F05"
    ],
    "keywords": [
      "stochastic integral",
      "discretization error",
      "effective discretization schemes",
      "asymptotic conditional mean-squared error attains",
      "general stochastic partition"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1004.2107F"
    }
  }
}