Approximation of certain stochastic integrals with anticipating integrands
classification
🧮 math.PR
keywords
approximationcertainintegralsstochasticadditionalanticipatingapproximationsasymptotic
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We study the quantitative approximation of certain stochastic integrals, where we use discrete time approximations under initial enlargement of filtration. It turns out that the approximation rate is in general the same as in the case of no additional information, however, the asymptotic constant improves.
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