Localization of Wiener functionals of fractional regularity and applications

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

He, Kai¹  Ren, Jiagang²  Zhaug, Hua³ 

[1] Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100190, Peoples R China

[2] Sun Yat Sen Univ, Sch Math & Computat Sci, Guangzhou 510275, Guangdong, Peoples R China

[3] Jiangxi Univ Finance & Econ, Sch Stat, Nanchang 330013, Jiangxi, Peoples R China

关键词: Fractional order;    Donsker's delta function;    Integration by parts;    Non-Markovian;    Euler scheme;    Convergence rate;   

DOI  :  10.1016/j.spa.2014.03.010

来源: Elsevier

【 摘 要 】

In this paper we localize some of Watanabe's results on Wiener functionals of fractional regularity, and use them to give a precise estimate of the difference between two Donsker's delta functionals even with fractional differentiability. As an application, the convergence rate of the density of the Euler scheme for non-Markovian stochastic differential equations is obtained. (C) 2014 Elsevier B.V. All rights reserved.

【 授权许可】

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