Limit distributions for the discretization error of stochastic Volterra equations

Masaaki Fukasawa; Takuto Ugai

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arXiv · 2112.06471

Limit distributions for the discretization error of stochastic Volterra equations

Masaaki Fukasawa·Takuto Ugai

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Abstract

Our study aims to specify the asymptotic error distribution in the discretization of a stochastic Volterra equation with a fractional kernel. It is well-known that for a standard stochastic differential equation, the discretization error, normalized with its rate of convergence $1/\sqrt{n}$, converges in law to the solution of a certain linear equation. Similarly to this, we show that a suitably normalized discretization error of the Volterra equation converges in law to the solution of a certain linear Volterra equation with the same fractional kernel.

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Masaaki Fukasawa, Takuto Ugai. 2021-12-13. Limit distributions for the discretization error of stochastic Volterra equations. https://arxiv.org/abs/2112.06471

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