Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
Stefan Geiss and Anni Toivola
Source: Bernoulli Volume 15, Number 4
(2009), 925-954.
Abstract
We consider weak convergence of the rescaled error processes arising from Riemann discretizations of certain stochastic integrals and relate the Lp-integrability of the weak limit to the fractional smoothness in the Malliavin sense of the stochastic integral.
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Permanent link to this document: http://projecteuclid.org/euclid.bj/1262962221
Digital Object Identifier: doi:10.3150/09-BEJ197
Mathematical Reviews number (MathSciNet): MR2597578
Zentralblatt MATH identifier: 05816127
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