Abstract
In this paper we study the numerical quadrature of a stochastic integral, where the temporal regularity of the integrand is measured in the fractional Sobolev-Slobodeckij norm.
Type
Publication
Communications in Mathematical Sciences, vol. 16(8), 2125-2146
Raphael Kruse
Professor
Prof. Dr. Raphael Kruse is the head of the working group “Numerik stochastischer Differentialgleichungen” at Martin-Luther-University Halle-Wittenberg. His research interests include numerical methods and stochastic analysis for stochastic evolution equations and Monte Carlo methods.