论文标题
关于piterbarg常数的收敛速度
On the speed of convergence of Piterbarg constants
论文作者
论文摘要
在本文中，我们为连续和离散的piterbarg常数之间的差异得出了上限。我们的结果使我们能够使用具有明确错误率的蒙特卡洛模拟来通过其离散对应物近似于经典的Piterbarg常数
In this paper we derive an upper bound for the difference between the continuous and discrete Piterbarg constants. Our result allows us to approximate the classical Piterbarg constants by their discrete counterparts using Monte Carlo simulations with an explicit error rate
