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Markov processes / Digital signal processing / Fourier analysis / Markov chain / Continuous-time Markov process / Dirac delta function / Stochastic process / Kernel / Discrete Fourier transform / Mathematical analysis / Statistics / Mathematics


CONVERGENCE RATES FOR DIFFUSIONS ON CONTINUOUS-TIME LATTICES ´ CLAUDIO ALBANESE AND ALEKSANDAR MIJATOVIC IMPERIAL COLLEGE LONDON Abstract. In this paper we introduce a discretization scheme based on a continuous-time
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Document Date: 2014-03-17 15:14:16

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City

LONDON / /

Company

Section 3 / Lh / Yth / Cox / B. / /

Event

Product Recall / Product Issues / /

Facility

CLAUDIO ALBANESE AND ALEKSANDAR MIJATOVIC IMPERIAL COLLEGE / /

IndustryTerm

respective inner products / mathematical finance / inner product / diagonal operator / bounded operator / 1The algorithm / gradient operator / bounded linear operator / unbounded operator / approximate solution / /

Person

ALEKSANDAR MIJATOVIC / CLAUDIO ALBANESE / Yth / /

Position

continuous-time lattice model / /

Product

Markov / Black-Scholes probability kernel / /

ProgrammingLanguage

C / /

Technology

2 Intuitively 1The algorithm / PDF / /

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