On the optimal approximation rate of certain stochastic integrals

JOURNAL OF APPROXIMATION THEORY

卷:162

Article

Seppala, Heikki

关键词: Non-linear approximation;    Stochastic integrals;    Regular sequences;   

DOI  :  10.1016/j.jat.2010.04.008

来源: Elsevier

【 摘 要 】

Given an increasing function H :[0, 1) -> 10, infinity) and A(n)(H):= inf Ef o o i_H(where T(n) := It = (l(i))l=0 : 0 = to < t1 < ... < tn= 1}, we characterize the property A,, (H) < and give conditions for A,, (H) < and An (H) >= for beta E (0, 1), both in terms of integrability cvny properties of H. These results are applied to the approximation of stochastic integrals. (c) 2010 Elsevier Inc. All rights reserved.di

【 授权许可】

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