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• W2963870171 abstract "Suppose B is a Brownian motion and Bn is an approximating sequence of rescaled random walks on the same probability space converging to B pointwise in probability. We provide necessary and sufficient conditions for weak and strong L2-convergence of a discretized Malliavin derivative, a discrete Skorokhod integral, and discrete analogues of the Clark–Ocone derivative to their continuous counterparts. Moreover, given a sequence (Xn) of random variables which admit a chaos decomposition in terms of discrete multiple Wiener integrals with respect to Bn, we derive necessary and sufficient conditions for strong L2-convergence to a σ(B)-measurable random variable X via convergence of the discrete chaos coefficients of Xn to the continuous chaos coefficients." @default.
• W2963870171 created "2019-07-30" @default.
• W2963870171 creator A5032142576 @default.
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• W2963870171 date "2018-08-01" @default.
• W2963870171 modified "2023-10-16" @default.
• W2963870171 title "Discretizing Malliavin calculus" @default.
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• W2963870171 doi "https://doi.org/10.1016/j.spa.2017.09.014" @default.
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