A discrete-time Clark-Ocone formula and its application to an error analysis
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Publication:2412512
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
convergence ratediscrete Malliavin calculusdiscrete Clark-Ocone formulaSobolev differentiability index
Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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