Weak approximations for Wiener functionals
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Publication:363864
DOI10.1214/12-AAP883zbMATH Open1284.60133arXiv0909.1823MaRDI QIDQ363864FDOQ363864
Authors: Dorival Leão, Alberto Ohashi 
Publication date: 5 September 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: In this paper we introduce a simple space-filtration discretization scheme on Wiener space which allows us to study weak decompositions and smooth explicit approximations for a large class of Wiener functionals. We show that any Wiener functional has an underlying robust semimartingale skeleton which under mild conditions converges to it. The discretization is given in terms of discrete-jumping filtrations which allow us to approximate nonsmooth processes by means of a stochastic derivative operator on the Wiener space. As a by-product, we provide a robust semimartingale approximation for weak Dirichlet-type processes. The underlying semimartingale skeleton is intrinsically constructed in such way that all the relevant structure is amenable to a robust numerical scheme. In order to illustrate the results, we provide an easily implementable approximation scheme for the classical Clark-Ocone formula in full generality. Unlike in previous works, our methodology does not assume an underlying Markovian structure and does not require Malliavin weights. We conclude by proposing a method that enables us to compute optimal stopping times for possibly non-Markovian systems arising, for example, from the fractional Brownian motion.
Full work available at URL: https://arxiv.org/abs/0909.1823
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- Discrete-type approximations for non-Markovian optimal stopping problems. II
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