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

DOI10.1007/S10959-021-01134-0MaRDI QIDQ2100007zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• \(L^2\)-convergence rate for the discretization error of functions of Lévy process

Cited in

(4)

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

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