Université du Luxembourg

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  • 25 March 2020 Valentin GARINO, Approximation schemes of stochastic integrals driven by fractional Brownian motion
    Abstract

    A fundamental topic in contemporary probability and statistics is to quantify the efficiency of asymptotic estimator by providing a wide variety of central limit-type theorems. I will more specifically present some recent results on stochastic integrals driven by Brownian motion and fractional Brownian motion. After introducing properly the notions mentioned above, I will state and prove a central limit theorem for the Euler-Maruyama type approximation.

Created by Robert Baumgarth | Last updated on 27 May 2020