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

被引：24
|
作者：
Geiss, Stefan [1 ]
Toivola, Anni [1 ]
机构：
[1] Univ Jyvaskyla, Dept Math & Stat, FIN-40014 Jyvaskyla, Finland
来源：
BERNOULLI | 2009年 / 15卷 / 04期
关键词：
approximation; Besov spaces; stochastic integrals; weak convergence; SOBOLEV SPACES; WEIGHTED BMO; APPROXIMATION; DISTRIBUTIONS;
D O I：
10.3150/09-BEJ197
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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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页码：925 / 954
页数：30
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