Optimal approximation of Skorohod integrals (Q1745263): Difference between revisions

The authors establish the optimal convergence rate for the \(L^2\)-approximation of the Skorohod integrals of the form \[ \int_0^1f(s, W_s, W_{\tau_2},\ldots,W_{\tau_K})dW_s, \] where \(\tau_i\) are fixed time points of nonadaptedness, under the condition that the knowledge of \(f\) and of \(W_{i/n}, 1\leq i\leq n\) and \(W_{\tau_j}, 2\leq j\leq K\) is complete. New proof techniques are required, in comparison with Itô integrals' approximation. The main tools are a characterization via \(S\)-transform and a reformulation of the Wiener chaos decomposition in terms of Wick-analytic functionals. Under some additional assumptions, the optimal rate of convergence equals \(n^{-1}\).