WEEKLY ACTIVITIES

Thời gian: 14h Thứ 5, ngày 05/05/2022

Link online meet.google.com/nqs-ntdh-wnz

Tóm tắt: In this talk, we discuss the discretization problem of stochastic integrals driven by semimartingales with jumps via the weighted bounded mean oscillation (BMO) approach. This approach enables L_p-estimates, p in (2, infty), for the approximation error depending on the weight, and it allows a change of the underlying measure which leaves the error estimates unchanged. We propose a new approximation scheme obtained from a correction for the Riemann approximation based on tracking jumps of the underlying semimartingale. We also discuss a way to optimize the approximation rate by adapting the discretization times to the setting.