Spectral Properties of Trinomial Trees
In this paper, we prove that the probability kernel of a random walk on a trinomial tree converges to the density of a Brownian motion with drift at the rate O(h⁴), where h is the distance between the nodes of the tree. We also show that this convergence estimate is optimal in which the density of t...
| Veröffentlicht in: | Proceedings: Mathematical, Physical and Engineering Sciences. - The Royal Society. - 463(2007), 2083, Seite 1681-1696 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Zugriff auf das übergeordnete Werk: | Proceedings: Mathematical, Physical and Engineering Sciences |
| Schlagworte: | trinomial trees Brownian motion with drift convergence estimates for probability densities spectral theory Mathematics Physical sciences Applied sciences |
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