Related papers: Optimal approximation of Skorohod integrals
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…
We derive the optimal rate of convergence for the mean squared error at the terminal point for anticipating linear stochastic differential equations, where the integral is interpreted in Skorohod sense. Although alternative proof techniques…
We investigate the optimal rate of convergence in the multidimensional normal approximation of vector-valued Wiener-Ito integrals of which components all belong to the same fixed Wiener chaos. Combining Malliavin calculus, Stein's method…
An Ito-Skorokhod bi-linear equation driven by infinitely many independent colored noises is considered in a normal triple of Hilbert spaces. The special feature of the equation is the appearance of the Wick product in the definition of the…
In this paper we present a numerical scheme for stochastic differential equations based upon the Wiener chaos expansion. The approximation of a square integrable stochastic differential equation is obtained by cutting off the infinite chaos…
Given a solution $Y$ to a rough differential equation (RDE), a recent result [8] extends the classical It\"{o}-Stratonovich formula and provides a closed-form expression for $\int Y \circ \mathrm{d} \mathbf{X} - \int Y \, \mathrm{d} X$,…
Let $\tilde{N}\_{t}$ be a standard compensated Poisson process on $[0,1]$. We prove a new characterization of anticipating integrals of the Skorohod type with respect to $\tilde{N}$, and use it to obtain several counterparts to well…
The dynamics of interacting quantum systems in the presence of disorder is studied and an exact representation for disorder-averaged quantities via Ito stochastic calculus is obtained. The stochastic integral representation affords many…
This article gives an account on various aspects of stochastic calculus in the plane. Specifically, our aim is 3-fold: (i) Derive a pathwise change of variable formula for a path indexed by a square, satisfying some H\"older regularity…
We show that a certain integral representation of the one-sided Skorokhod reflection of a continuous bounded variation function characterizes the reflection in that it possesses a unique maximal solution which solves the Skorokhod…
Exponential tightness of a family of Skorohod integrals is studied in this paper. We first provide a counterexample to illustrate that in general the exponential tightness with speed $\epsilon$ similar to It\^o integral does not hold, even…
We propose novel smooth approximations to the classical rounding function, suitable for differentiable optimization and machine learning applications. Our constructions are based on two approaches: (1) localized sigmoid window functions…
In this paper, the weak convergence about the discretization error of stochastic iterated integrals in the Skorohod sense are studied, while the integrands and integrators of iterated integrals are supposed to be semimartingales with jumps.…
The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic…
We consider a method for the approximation of iterated stochastic integrals of arbitrary multiplicity $k$ $(k\in \mathbb{N})$ with respect to the infinite-dimensional $Q$-Wiener process using the mean-square approximation method of iterated…
The \emph{Skorokhod distance} is a natural metric on traces of continuous and hybrid systems. For two traces, from $[0,T]$ to values in a metric space $O$, it measures the best match between the traces when allowed continuous bijective…
The article is devoted to the estimation of the rate of convergence of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density which is differentiable in $t$ and…
This paper develops mixed-normal approximations for probabilities that vectors of multiple Skorohod integrals belong to random convex polytopes when the dimensions of the vectors possibly diverge to infinity. We apply the developed theory…
Given a L\'evy process $L$, we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time $T$ based on i.i.d. sample from $L_{T}.$ Our approach is based on the genuine use of…
The solution of a (stochastic) differential equation (SDE) can be locally approximated by a stochastic expansion, a linear combination of iterated integrals. Quantities of interest, like moments, can then be approximated with the expansion.…