Optimal approximation of Skorohod integrals
Probability
2016-09-30 v1
Abstract
In this manuscript, we determine the optimal approximation rate for Skorohod integrals of sufficiently regular integrands. This generalizes the optimal approximation results for It\^o integrals. However, without adaptedness and the It\^o isometry, new proof techniques are required. The main tools are a characterization via S-transform and a reformulation of the Wiener chaos decomposition in terms of Wick-analytic functionals.
Keywords
Cite
@article{arxiv.1609.09282,
title = {Optimal approximation of Skorohod integrals},
author = {Andreas Neuenkirch and Peter Parczewski},
journal= {arXiv preprint arXiv:1609.09282},
year = {2016}
}