Fachgruppe Mathematik: Auflistung Fachgruppe Mathematik nach Autor "Brown, Bruce"
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On the expected uniform error of Brownian motion approximated by the Lévy-Ciesielski construction
Brown, Bruce; Griebel, Michael; Kuo, Frances Y.; Sloan, Ian H. (2023-04)It is known that the Brownian bridge or Lévy-Ciesielski construction of Brownian paths almost surely converges uniformly to the true Brownian path. In the present article the focus is on the uniform error. In particular, ... -
On the expected uniform error of geometric Brownian motion approximated by the Lévy-Ciesielski construction
Brown, Bruce; Griebel, Michael; Kuo, Frances Y.; Sloan, Ian H. (2017-06)It is known that the Brownian bridge or Lévy-Ciesielski construction of Brownian paths almost surely converges uniformly to the true Brownian path. In the present article the focus is on the error. In particular, we show ...