Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

Stefan Geiss; Anni Toivola

doi:10.3150/09-BEJ197

paper

Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

arXiv:0711.1439 · doi:10.3150/09-BEJ197

Abstract

We consider weak convergence of the rescaled error processes arising from Riemann discretizations of certain stochastic integrals and relate the $L_{p}$ -integrability of the weak limit to the fractional smoothness in the Malliavin sense of the stochastic integral.

Published in at http://dx.doi.org/10.3150/09-BEJ197 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)