Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates

• المؤلفون الرئيسيون: Privault, Nicolas, Yam, Phillip S. C., Zhang, Zheng
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2021
• الموضوعات: Science::Mathematics; Wiener and Poisson Malliavin Calculi; Chaotic Decompositions
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/148584
• المؤسسة: 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...