Discretizing Malliavin calculus

DOI10.1016/J.SPA.2017.09.014zbMATH Open1391.60129arXiv1602.08858OpenAlexW2963870171MaRDI QIDQ1639664FDOQ1639664

Peter Parczewski, Christian Bender

Publication date: 13 June 2018

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

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.

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)

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Cited In (4)

• Mean square rate of convergence for random walk approximation of forward-backward SDEs
• Discrete Malliavin calculus and computations of Greeks in the binomial tree
• From discrete to continuous stochastic calculus
• Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates

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