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arXiv · 1304.4316

Localization of Wiener Functionals of Fractional Regularity and Applications

Kai He·Jiagang Ren·Hua Zhang
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Abstract

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.

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Kai He, Jiagang Ren, Hua Zhang. 2013-04-16. Localization of Wiener Functionals of Fractional Regularity and Applications. https://arxiv.org/abs/1304.4316

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