Optimal approximation of Skorohod integrals
classification
🧮 math.PR
keywords
approximationintegralsoptimalskorohodadaptednesschaoscharacterizationdecomposition
read the original abstract
In this manuscript, we determine the optimal approximation rate for Skorohod integrals of sufficiently regular integrands. This generalizes the optimal approximation results for It\^o integrals. However, without adaptedness and the It\^o isometry, new proof techniques are required. The main tools are a characterization via S-transform and a reformulation of the Wiener chaos decomposition in terms of Wick-analytic functionals.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.