Localization of Wiener functionals of fractional regularity and applications

Kai He, Jiagang Ren and Hua Zhang

Stochastic Processes and their Applications, 2014, vol. 124, issue 8, 2543-2582

Abstract: In this paper we localize some of Watanabe’s results on Wiener functionals of fractional regularity, and use them to give a precise estimate of the difference between two Donsker’s delta functionals even with fractional differentiability. As an application, the convergence rate of the density of the Euler scheme for non-Markovian stochastic differential equations is obtained.

Keywords: Fractional order; Donsker’s delta function; Integration by parts; Non-Markovian; Euler scheme; Convergence rate (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spa.2014.03.010

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