A discrete-time Clark-Ocone formula and its application to an error analysis (Q2412512): Difference between revisions

This paper introduces a finite-dimensional approximation for the Clark-Ocone formula on the Wiener space, and studies its convergence properties. The authors provide an exact expression for the error generated by this approximation, based on a time discretization of Brownian motion and on Hermite expansions. In addition, using iterated Malliavin derivatives, they obtain a central limit theorem for the martingale error terms generated by Hermite expansions of any given order. Explicit convergence rates are also derived for sequences of finite-dimensional random variables satisfying a certain stationarity condition, in relation with their order of fractional differentiability in Sobolev spaces over the Wiener space. The results are applied to the asymptotic analysis of the martingale representation error generated by the discretization of additive random functionals such as the Brownian occupation time.