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math.PR2016
Optimal approximation of Skorohod integrals
Andreas Neuenkirch, Peter Parczewski
In this manuscript, we determine the optimal approximation rate for Skorohod integrals of sufficiently regular integrands. This generalizes the optimal approximation results for It…
math.PR2016★ 6 cited
The Order Barrier for Strong Approximation of Rough Volatility Models
Andreas Neuenkirch, Taras Shalaiko
We study the strong approximation of a rough volatility model, in which the log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst parameter . Our met…