On the speed of convergence of Piterbarg constants

Krzysztof Bisewski; Grigori Jasnovidov

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arXiv · 2209.13972

On the speed of convergence of Piterbarg constants

Krzysztof Bisewski·Grigori Jasnovidov

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Abstract

In this paper we derive an upper bound for the difference between the continuous and discrete Piterbarg constants. Our result allows us to approximate the classical Piterbarg constants by their discrete counterparts using Monte Carlo simulations with an explicit error rate

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Krzysztof Bisewski, Grigori Jasnovidov. 2022-09-28. On the speed of convergence of Piterbarg constants. https://arxiv.org/abs/2209.13972

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