Higher-order error estimates of the discrete-time Clark-Ocone formula

DOI10.1007/S10959-021-01134-0OpenAlexW3207435299MaRDI QIDQ2100007FDOQ2100007

Authors: Tsubasa Nishimura, Kenji Yasutomi, Tomooki Yuasa 

Publication date: 21 November 2022

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

Full work available at URL: https://arxiv.org/abs/2101.07087

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zbMATH Keywords

discrete Malliavin calculusdiscrete-time Clark-Ocone formulahigher-order error estimates

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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• On the convergence of higher order hedging schemes: the delta-gamma case
• \(L^2\)-convergence rate for the discretization error of functions of Lévy process
• Unbiased deep solvers for linear parametric PDEs

Cited In (4)

• Higher-order error estimates of the discrete-time Clark--Ocone formula
• A discrete-time Clark-Ocone formula and its application to an error analysis
• Time-discrete higher order ALE formulations: a priori error analysis
• \(L^2\)-convergence rate for the discretization error of functions of Lévy process

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