Optimal approximation of Skorohod integrals

Andreas Neuenkirch; Peter Parczewski

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arXiv · 1609.09282

Optimal approximation of Skorohod integrals

Andreas Neuenkirch·Peter Parczewski

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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.

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BibTeX RIS

Andreas Neuenkirch, Peter Parczewski. 2016-09-29. Optimal approximation of Skorohod integrals. https://arxiv.org/abs/1609.09282

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