Weak approximations for Wiener functionals
نویسندگان
چکیده
منابع مشابه
Weak Approximations for Wiener Functionals
Abstract. In this paper we introduce a simple space-filtration discretization scheme on Wiener space which allows us to study weak decompositions of a large class of Wiener functionals. We show that any Wiener functional has an underlying robust semimartingale skeleton which under mild conditions converges to it. The approximation is given in terms of discrete-jumping filtrations which allow us...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2013
ISSN: 1050-5164
DOI: 10.1214/12-aap883