Localization of Wiener Functionals of Fractional Regularity and Applications

Kai He, Jiagang Ren, Hua Zhang

Published 2013-04-16, updated 2014-03-27Version 2

In this paper we localize some of Watanabe's results on fractional Wiener functionals, and use them to give a precise estimate of the difference between two Donsker's delta functionals even with fractional differentiability. As an application, the convergence rate of the density of the Euler scheme for non-Markovian stochastic differential equations is obtained.