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Approximation of a random process with variable smoothness
locally stationary processes multifractional Brownian motion piecewise constant approximation
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2012/6/25
We consider the rate of piecewise constant approximation to a locally stationary process $X(t),t\in [0,1]$, having a variable smoothness index $\alpha(t)$. Assuming that $\alpha(\cdot)$ attains its un...
A note on essential smoothness in the Heston model
Essential smoothness large deviation principle Heston model
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2011/10/9
Abstract: This note studies an issue relating to essential smoothness that can arise when the theory of large deviations is applied to a certain option pricing formula in the Heston model. The note id...
Fractional Smoothness of Some Stochastic Integrals
fractional Sobolev space stochastic integral interpolation
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2007/12/12
We study the fractional smoothness in the sense of Malliavin calculus of stochastic integrals of the form $\int_0^1\p(X_s)dX_s$, where $X_s$ is a semimartingale and $\p$ belongs to some fractional Sob...