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arxiv: 1701.01312 · v1 · pith:3MPE5OX7new · submitted 2017-01-05 · 🧮 math.PR

Optimal approximation of Skorohod integrals - examples with substandard rates

classification 🧮 math.PR
keywords optimalratesintegralsskorohodapproximationbrownianexamplesintegral
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We consider optimal approximation with respect to the mean square error of It\^o integrals and Skorohod integrals given an equidistant discretization of the Brownian motion. We obtain for suitable integrands optimal rates smaller than the standard $n^{-1}$, where $n$ denotes the number of evaluations of the Brownian motion. For the It\^o integral this is due to the Weyl equidistribution theorem and discontinuities of the integrand. For the Skorohod integral the situation is more complicated and relies on a reformulation of the Wiener chaos expansion. Here, we specify conditions on the integrands to obtain optimal rates $n^{-1/2}$, respectively, examples of lower rates.

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