Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates

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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書目詳細資料
Main Authors:	Privault, Nicolas, Yam, Phillip S. C., Zhang, Zheng
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2021
主題:	Science::Mathematics Wiener and Poisson Malliavin Calculi Chaotic Decompositions
在線閱讀:	https://hdl.handle.net/10356/148584
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

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