August 30th, 2008, 5:56 pm
QuoteHow do I evaluate the following Ito integrals?:int f(t) dW(t)What is a good approximation in the case f(t) = exp(bt), 'b' can have any sign and the interval is [a, a + k] where 'k' is typically small?How does one carry out a numerical (error) analysis as well, in particular do we use L2, Linfinity errors?// V1integral ~ exp(ba) * sqrt(k) * Z where Z ~ N(0,1)?
Last edited by
Cuchulainn on August 29th, 2008, 10:00 pm, edited 1 time in total.