On approximation of a class of stochastic integrals and interpolation
From MaRDI portal
Publication:4821628
DOI10.1080/10451120410001728445zbMath1060.60056OpenAlexW1969732258WikidataQ110035675 ScholiaQ110035675MaRDI QIDQ4821628
Publication date: 21 October 2004
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10451120410001728445
Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Interpolation between normed linear spaces (46B70) Rate of convergence, degree of approximation (41A25)
Related Items
Optimal discretization of stochastic integrals driven by general Brownian semimartingale ⋮ Interpolation and approximation in \(L_{2}(\gamma )\) ⋮ Model-adaptive optimal discretization of stochastic integrals ⋮ A note on Malliavin fractional smoothness for Lévy processes and approximation ⋮ L2-convergence rate for the discretization error of functions of Lévy process ⋮ Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces ⋮ On the optimal approximation rate of certain stochastic integrals ⋮ A discrete-time Clark-Ocone formula and its application to an error analysis ⋮ Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition ⋮ Equivalence of \(K\)- and \(J\)-methods for limiting real interpolation spaces ⋮ Stochastic moment problem and hedging of generalized Black-Scholes options ⋮ A correction note to ``Discrete time hedging errors for options with irregular payoffs ⋮ OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES ⋮ THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ On an approximation problem for stochastic integrals where random time nets do not help ⋮ \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions ⋮ Almost sure optimal hedging strategy ⋮ A discrete-time Clark-Ocone formula for Poisson functionals ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space