Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates

This article proposes a global, chaos-based procedure for the discretization of functionals of Brownian motion into functionals of a Poisson process with intensity λ>0. Under this discretization we study the weak convergence, as the intensity of the underlying Poisson process goes to infinity, of...

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Bibliographic Details
Main Authors: Privault, Nicolas, Yam, Phillip S. C., Zhang, Zheng
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2021
Subjects:
Online Access:https://hdl.handle.net/10356/148584
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Institution: Nanyang Technological University
Language: English