Abstract
The distributions of stochastic integrals are approximated by the distributions of stochastic integrals of piece-wise constant processes. The rate of approximation in some negative Sobolev spaces is estimated. Generalizations are given for problems arising in control theory.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 385-410 |
| Number of pages | 26 |
| Journal | Annals of Probability |
| Volume | 29 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jan 2001 |
Keywords
- Numerical approximations
- Stochastic control
- Stochastic integrals