Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
Geiss, Stefan ; Toivola, Anni
Bernoulli, Tome 15 (2009) no. 1, p. 925-954 / Harvested from Project Euclid
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We consider weak convergence of the rescaled error processes arising from Riemann discretizations of certain stochastic integrals and relate the Lp-integrability of the weak limit to the fractional smoothness in the Malliavin sense of the stochastic integral.
Publié le : 2009-11-15
Classification:  approximation,  Besov spaces,  stochastic integrals,  weak convergence 
@article{1262962221,
     author = {Geiss, Stefan and Toivola, Anni},
     title = {Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces},
     journal = {Bernoulli},
     volume = {15},
     number = {1},
     year = {2009},
     pages = { 925-954},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1262962221}
}

Geiss, Stefan; Toivola, Anni. Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces. Bernoulli, Tome 15 (2009) no. 1, pp.  925-954. http://gdmltest.u-ga.fr/item/1262962221/