Convergence of an Adaptive Approximation Scheme for the Wiener Process

Mats Brodén; Magnus Wiktorsson

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arXiv · 1002.0528

Convergence of an Adaptive Approximation Scheme for the Wiener Process

Mats Brodén·Magnus Wiktorsson

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Abstract

The problem of approximating/tracking the value of a Wiener process is considered. The discretization points are placed at times when the value of the process differs from the approximation by some amount, here denoted by eta. It is found that the limiting difference, as eta goes to 0, between the approximation and the value of the process normalized with eta converges in distribution to a triangularly distributed random variable.

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BibTeX RIS

Mats Brodén, Magnus Wiktorsson. 2010-02-02. Convergence of an Adaptive Approximation Scheme for the Wiener Process. https://arxiv.org/abs/1002.0528

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