Limit distributions for the discretization error of stochastic Volterra equations

12/13/2021

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by   Masaaki Fukasawa, et al.

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Our study aims to specify the asymptotic error distribution in the discretization of a stochastic Volterra equation with a fractional kernel. It is well-known that for a standard stochastic differential equation, the discretization error, normalized with its rate of convergence 1/√(n), converges in law to the solution of a certain linear equation. Similarly to this, we show that a suitably normalized discretization error of the Volterra equation converges in law to the solution of a certain linear Volterra equation with the same fractional kernel.