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arXiv · 1803.05182

Approximative Theorem of Incomplete Riemann-Stieltjes Sum of Stochastic Integral

Jingwei Liu
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Abstract

The approximative theorems of incomplete Riemann-Stieltjes sums of Ito stochastic integral, mean square integral and Stratonovich stochastic integral with respect to Brownian motion are investigated. Some sufficient conditions of incomplete Riemann-Stieltjes sums approaching stochastic integral are developed, which establish the alternative ways to converge stochastic integral. And, Two simulation examples of incomplete Riemann-Stieltjes sums about Ito stochastic integral and Stratonovich stochastic integral are given for demonstration.

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Jingwei Liu. 2018-03-14. Approximative Theorem of Incomplete Riemann-Stieltjes Sum of Stochastic Integral. https://arxiv.org/abs/1803.05182

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