Interpolation and approximation in \(L_{2}(\gamma )\) (Q868825)

Assume a standard Brownian motion \(W=(W_t)_{t\in [0,1]},\) a Borel function \(f: \mathbb{R} \to \mathbb{R}\) such that \(f(W_1) \in L_2\), and the standard Gaussian measure \(\gamma\) on the real line. It characterize that \(f\) belongs to the Besov space \(B^{\theta}_{2,q}:=(L_2(\gamma),\mathbb{D}_{1,2}(\gamma))_{\theta,q}\), obtained via the real interpolation method, by the behavior of \(a_X(f(X_1);\tau):=\|f(W_1)-P^\tau_X f(W_1) \|_{L_2}\), where \(\tau=(t_i)^n_{i=0}\) is a deterministic time net and \(P^\tau_X: L_2 \to L_2\) the orthogonal projection onto a subspace of 'discrete' stochastic integrals \(x_0+\sum_{i=1}^n v_{i-1}(X_{t_i}-X_{t_{i-1}})\) with \(X\) being the Brownian motion or the geometric Brownian motion. By using Hermite polynomial expansions the problem is reduced to a deterministic one. The bibliography contains 18 sources.