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

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

2007-11-09

arxiv.org/abs/0711.1439v3

Bernoulli 2009, Vol. 15, No. 4, 925-954

Mathematics

Probability

Published in at http://dx.doi.org/10.3150/09-BEJ197 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/09-BEJ197

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.

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