English

Optimal approximation of Skorohod integrals - examples with substandard rates

Probability 2017-01-06 v1

Abstract

We consider optimal approximation with respect to the mean square error of It\^o integrals and Skorohod integrals given an equidistant discretization of the Brownian motion. We obtain for suitable integrands optimal rates smaller than the standard n1n^{-1}, where nn denotes the number of evaluations of the Brownian motion. For the It\^o integral this is due to the Weyl equidistribution theorem and discontinuities of the integrand. For the Skorohod integral the situation is more complicated and relies on a reformulation of the Wiener chaos expansion. Here, we specify conditions on the integrands to obtain optimal rates n1/2n^{-1/2}, respectively, examples of lower rates.

Keywords

Cite

@article{arxiv.1701.01312,
  title  = {Optimal approximation of Skorohod integrals - examples with substandard rates},
  author = {Peter Parczewski},
  journal= {arXiv preprint arXiv:1701.01312},
  year   = {2017}
}
R2 v1 2026-06-22T17:41:56.306Z