کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7550002 | 1489921 | 2018 | 49 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Discretizing Malliavin calculus
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Suppose B is a Brownian motion and Bn is an approximating sequence of rescaled random walks on the same probability space converging to B pointwise in probability. We provide necessary and sufficient conditions for weak and strong L2-convergence of a discretized Malliavin derivative, a discrete Skorokhod integral, and discrete analogues of the Clark-Ocone derivative to their continuous counterparts. Moreover, given a sequence (Xn) of random variables which admit a chaos decomposition in terms of discrete multiple Wiener integrals with respect to Bn, we derive necessary and sufficient conditions for strong L2-convergence to a Ï(B)-measurable random variable X via convergence of the discrete chaos coefficients of Xn to the continuous chaos coefficients.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 8, August 2018, Pages 2489-2537
Journal: Stochastic Processes and their Applications - Volume 128, Issue 8, August 2018, Pages 2489-2537
نویسندگان
Christian Bender, Peter Parczewski,