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

引用

页码：925 / 954

页数：30

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