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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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/148584 |
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| Institution: | Nanyang Technological University |
| Language: | English |