Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

Stefan Geiss; Anni Toivola

doi:10.3150/09-BEJ197

Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

Probability 2010-01-25 v3

Authors: Stefan Geiss , Anni Toivola

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Abstract

We consider weak convergence of the rescaled error processes arising from Riemann discretizations of certain stochastic integrals and relate the $L_p$ -integrability of the weak limit to the fractional smoothness in the Malliavin sense of the stochastic integral.

Keywords

weak convergence error processes stochastic integrals Riemann discretizations Besov spaces Malliavin calculus fractional smoothness

Cite

@article{arxiv.0711.1439,
  title  = {Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces},
  author = {Stefan Geiss and Anni Toivola},
  journal= {arXiv preprint arXiv:0711.1439},
  year   = {2010}
}

Comments

Published in at http://dx.doi.org/10.3150/09-BEJ197 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

Abstract

Keywords

Cite

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