A discrete-time Clark-Ocone formula and its application to an error analysis

DOI10.1007/s10959-016-0666-8zbMath1390.60195arXiv1307.0673OpenAlexW1537614178MaRDI QIDQ2412512

Takafumi Amaba, Jirô Akahori, Kaori Okuma

Publication date: 23 October 2017

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

Full work available at URL: https://arxiv.org/abs/1307.0673

zbMATH Keywords

convergence ratediscrete Malliavin calculusdiscrete Clark-Ocone formulaSobolev differentiability index

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Higher-order deep solver of non-linear PDEs implied by a non-linear discrete Clark-Ocone formula, Set-valued risk measures as backward stochastic difference inclusions and equations, A discrete-time Clark-Ocone formula for Poisson functionals, Some results on Parisian walks, Higher-order error estimates of the discrete-time Clark-Ocone formula

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