On the Moments of the Modulus of Continuity of Itô Processes

By Markus Fischer, Giovanna Nappo. 2009

83 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/1d3a4181467d7525040cc3ce43b8660a583df995

How researchers see this paper

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In Demography

1. Markus Fischer

In Finance

1. Markus Fischer
2. Daniel Lacker
3. François Delarue

Citations in the corpus

• On the connection between symmetric $N$-player games and mean field games (2014, methodology): “To find an up- per bound for the above sums that does not depend on N , we employ estimates on the moments of the modulus of continuity of Itô processes; cf. Fischer and Nappo (2010) and the references therein.”
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2012, unknown): “[11].”