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19922020
most citedWeak convergence of error processes in discretizations of stochastic integrals and Besov spaces

27 citations · 54 across the 12 of their papers we have counts for

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Showing 2013 · math.PRShow all

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math.PR2013★ 5 cited

First time to exit of a continuous Itô process: general moment estimates and L1-convergence rate for discrete time approximations

Bruno Bouchard, Stefan Geiss, Emmanuel Gobet

We establish general moment estimates for the discrete and continuous exit times of a general Itô process in terms of the distance to the boundary. These estimates serve as interme…