Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates

• 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: Science::Mathematics; Wiener and Poisson Malliavin Calculi; Chaotic Decompositions
• Online Access: https://hdl.handle.net/10356/148584
• Institution: Nanyang Technological University

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...