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arXiv:0711.1439 [math.PR]AbstractReferencesReviewsResources

Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

Stefan Geiss, Anni Toivola

Published 2007-11-09, updated 2010-01-25Version 3

We consider weak convergence of the rescaled error processes arising from Riemann discretizations of certain stochastic integrals and relate the $L_p$-integrability of the weak limit to the fractional smoothness in the Malliavin sense of the stochastic integral.

Comments: Published in at http://dx.doi.org/10.3150/09-BEJ197 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
Journal: Bernoulli 2009, Vol. 15, No. 4, 925-954
Categories: math.PR
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