Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates

DOI10.1016/j.spa.2018.09.015zbMath1479.60108OpenAlexW2898020803MaRDI QIDQ2274303

Zheng Zhang, Sheung Chi Phillip Yam, Nicolas Privault

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/10356/148584

zbMATH Keywords

discretizationmultiple stochastic integralschaotic decompositionsmultivariate Chen-Stein methodWiener and Poisson Malliavin calculi

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management

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