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arXiv · 0711.1439

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

Stefan Geiss·Anni Toivola
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Abstract

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.

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Stefan Geiss, Anni Toivola. 2010-01-25. Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces. https://doi.org/10.3150/09-bej197

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