Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7550002 | Stochastic Processes and their Applications | 2018 | 49 Pages |
Abstract
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.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Christian Bender, Peter Parczewski,