Optimal approximation of Skorohod integrals

DOI10.1007/S10959-016-0716-2zbMATH Open1391.60126arXiv1609.09282OpenAlexW2526429171MaRDI QIDQ1745263FDOQ1745263

Authors: A. Neuenkirch, Peter Parczewski 

Publication date: 20 April 2018

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: In this manuscript, we determine the optimal approximation rate for Skorohod integrals of sufficiently regular integrands. This generalizes the optimal approximation results for It^o integrals. However, without adaptedness and the It^o isometry, new proof techniques are required. The main tools are a characterization via S-transform and a reformulation of the Wiener chaos decomposition in terms of Wick-analytic functionals.

Full work available at URL: https://arxiv.org/abs/1609.09282

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zbMATH Keywords

optimal approximationWick product\(S\)-transformSkorohod integral

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited In (4)

• On the optimal approximation rate of certain stochastic integrals
• Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes
• Optimal pointwise approximation of anticipating SDEs
• Optimal Approximation of the Second Iterated Integral of Brownian Motion

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