Higher-order error estimates of the discrete-time Clark-Ocone formula

DOI10.1007/s10959-021-01134-0OpenAlexW3207435299MaRDI QIDQ2100007

Tsubasa Nishimura, Kenji Yasutomi, Tomooki Yuasa

Publication date: 21 November 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.07087

zbMATH Keywords

discrete Malliavin calculusdiscrete-time Clark-Ocone formulahigher-order error estimates

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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