Localization of Wiener Functionals of Fractional Regularity and Applications
Probability
2014-03-28 v2
Abstract
In this paper we localize some of Watanabe's results on fractional Wiener functionals, and use them to give a precise estimate of the difference between two Donsker's delta functionals even with fractional differentiability. As an application, the convergence rate of the density of the Euler scheme for non-Markovian stochastic differential equations is obtained.
Keywords
Cite
@article{arxiv.1304.4316,
title = {Localization of Wiener Functionals of Fractional Regularity and Applications},
author = {Kai He and Jiagang Ren and Hua Zhang},
journal= {arXiv preprint arXiv:1304.4316},
year = {2014}
}