Invariance principle for integral type functionals of square-integrable martingales
نویسندگان
چکیده
منابع مشابه
Mean square convergence of a semidiscrete scheme for SPDEs of Zakai type driven by square integrable martingales
In this short note, a direct proof of L2 convergence of an Euler–Maruyama approximation of a Zakai equation driven by a square integrable martingale is shown. The order of convergence is as known for real-valued stochastic differential equations and for less general driving noises O( √ ∆t) for a time discretization step size ∆t.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1987
ISSN: 0304-4149
DOI: 10.1016/0304-4149(87)90017-2