Optimal Approximation of Skorohod Integrals

Andreas Neuenkirch () and Peter Parczewski ()
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Andreas Neuenkirch: University of Mannheim
Peter Parczewski: University of Mannheim

Journal of Theoretical Probability, 2018, vol. 31, issue 1, 206-231

Abstract: Abstract In this manuscript, we determine the optimal approximation rate for Skorohod integrals of sufficiently regular integrands. This generalizes the optimal approximation results for Itô integrals. However, without adaptedness and the Itô 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.

Keywords: Skorohod integral; Optimal approximation; Wick product; S-transform; 60H05; 60H07; 60H35 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10959-016-0716-2

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