Localization of Wiener functionals of fractional regularity and applications

In this paper we localize some of Watanabe’s results on Wiener functionals of fractional regularity, and use them to give a precise estimate of the difference between two Donsker’s delta functionals even with fractional differentiability. As an application, the convergence rate of the density of the Euler scheme for non-Markovian stochastic differential equations is obtained.

MoreLess

Year of publication:	2014
Authors:	He, Kai ; Ren, Jiagang ; Zhang, Hua
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 8, p. 2543-2582
Publisher:	Elsevier
Subject:	Fractional order \| Donsker’s delta function \| Integration by parts \| Non-Markovian \| Euler scheme \| Convergence rate

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010875087