Optimal approximation of Skorohod integrals - examples with substandard rates

Publication date 5 January 2017

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We consider optimal approximation with respect to the mean square error of It^o integrals and Skorohod integrals given an equidistant discretization of the Brownian motion. We obtain for suitable integrands optimal rates smaller than the standard

n^{- 1}

, where

n

denotes the number of evaluations of the Brownian motion. For the It^o integral this is due to the Weyl equidistribution theorem and discontinuities of the integrand. For the Skorohod integral the situation is more complicated and relies on a reformulation of the Wiener chaos expansion. Here, we specify conditions on the integrands to obtain optimal rates

n^{- 1 / 2}

, respectively, examples of lower rates.

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