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 , where 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 , 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}
}