Error Distribution Of The Euler Approximation Scheme For Stochastic Volterra Integral Equations

Abstract

The purpose of this paper is to establish the convergence in distribution of the normalized error in the Euler approximation scheme for stochastic Volterra equations driven by a standard Brownian motion, with a kernel of the form $(t-s{)}^{\alpha }$, where $\alpha \in (-\frac{1}{2},\frac{1}{2})$.

36 pages