Discretizing Malliavin calculus

DOI10.1016/J.SPA.2017.09.014MaRDI QIDQ1639664zbMATH OpenOpenAlexFDO

Authors Christian Bender, Peter Parczewski

Publication date 13 June 2018

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.08858

zbMATH Keywords

Malliavin calculusstrong approximationinvariance principlestochastic integralschaos decompositionS-transform

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05) (L^p)-limit theorems (60F25)

Abstract: Suppose $B$ is a Brownian motion and $B^n$ is an approximating sequence of rescaled random walks on the same probability space converging to $B$ pointwise in probability. We provide necessary and sufficient conditions for weak and strong $L^2$-convergence of a discretized Malliavin derivative, a discrete Skorokhod integral, and discrete analogues of the Clark-Ocone derivative to their continuous counterparts. Moreover, given a sequence $(X^n)$ of random variables which admit a chaos decomposition in terms of discrete multiple Wiener integrals with respect to $B^n$, we derive necessary and sufficient conditions for strong $L^2$-convergence to a $sigma(B)$-measurable random variable $X$ via convergence of the discrete chaos coefficients of $X^n$ to the continuous chaos coefficients of $X$. In the special case of binary noise, our results support the known formal analogies between Malliavin calculus on the Wiener space and Malliavin calculus on the Bernoulli space by rigorous $L^2$-convergence results.

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