On the optimal approximation rate of certain stochastic integrals (Q606672)

Given an increasing function \(H\,:\,[0,\,1)\rightarrow[0,\,\infty)\) and \[ A_{n}(H):=\inf_{\tau\in \mathcal{T}_{n}}\Big(\sum_{i=1}^{n}\int_{t_{i-1}}^{t_{i}}(t_{i}-t)H(t)^2\,dt\Big)^{\frac{1}{2}}, \] where \(\mathcal{T}_{n}:=\{\tau=(t_{i})_{i=0}^{n}\,:0=t_{0}<t_{1}<\ldots<t_{n}=1\}\), the author characterizes the property \(A_{n}(H)\leq \frac{c}{\sqrt{n}}\), and gives conditions for \(A_{n}(H)\leq \frac{c}{\sqrt{n^{\beta}}}\) and \(A_{n}(H)\geq \frac{1}{c\sqrt{n^{\beta}}}\) for \(\beta\in (0,\,1)\), both in terms of integrability properties of \(H\). These results are applied to the approximation of stochastic integrals.