Weak approximations for Wiener functionals (Q363864): Difference between revisions

Let a Wiener functional \(X\) have an abstract representation \[ X_t = X_0 + \int_0^t H_s d B_s + N_t, \] where \(B\) is the standard Brownian motion under its natural filtration \(\mathbb{F}\), \(N\) can be a nonsemimartingale \(\mathbb{F}\)-optional process and \(H\) is a progressive process which is completely unknown a priori. The main problem addressed in this paper is to construct an explicit and simple sequence of \(\mathbb{F}^k\)-special semimartingales given by \[ X^k = X_0 + \int_0^t H^k d A^k, \quad \mathbb{F}^k \subset \mathbb{F}, \] where \(H^k\) is fully based on the information generated by the pair \((X,B)\) such that \(H^k \to H\), \(A^k \to A\), \(\int_0^t H^k d A^k \to \int H d B\), \(N^k \to N\), \(\mathbb{F}^k \to \mathbb{F}\) as \(k \to \infty\). Then the authors use their abstract results for the Clark-Okone formula. Finally, they propose a method to compute optimal stopping times for possibly non-Markovian systems arising, for example, from the fractional Brownian motion.