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Discretizing Malliavin calculus

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  • Bender, Christian
  • Parczewski, Peter

Abstract

Suppose B is a Brownian motion and Bn is an approximating sequence of rescaled random walks on the same probability space converging to B pointwise in probability. We provide necessary and sufficient conditions for weak and strong L2-convergence of a discretized Malliavin derivative, a discrete Skorokhod integral, and discrete analogues of the Clark–Ocone derivative to their continuous counterparts. Moreover, given a sequence (Xn) of random variables which admit a chaos decomposition in terms of discrete multiple Wiener integrals with respect to Bn, we derive necessary and sufficient conditions for strong L2-convergence to a σ(B)-measurable random variable X via convergence of the discrete chaos coefficients of Xn to the continuous chaos coefficients.

Suggested Citation

  • Bender, Christian & Parczewski, Peter, 2018. "Discretizing Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 128(8), pages 2489-2537.
    • Handle: RePEc:eee:spapps:v:128:y:2018:i:8:p:2489-2537
    DOI: 10.1016/j.spa.2017.09.014
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    References listed on IDEAS

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    1. Tommi Sottinen, 2001. "Fractional Brownian motion, random walks and binary market models," Finance and Stochastics, Springer, vol. 5(3), pages 343-355.
    2. Burq, Zaeem A. & Jones, Owen D., 2008. "Simulation of Brownian motion at first-passage times," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 64-71.
    3. Bruno Bouchard & Ivar Ekeland & Nizar Touzi, 2004. "On the Malliavin approach to Monte Carlo approximation of conditional expectations," Finance and Stochastics, Springer, vol. 8(1), pages 45-71, January.
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    5. repec:dau:papers:123456789/1802 is not listed on IDEAS
    6. Briand, Philippe & Delyon, Bernard & Mémin, Jean, 2002. "On the robustness of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 229-253, February.
    7. Geiss, Christel & Geiss, Stefan & Gobet, Emmanuel, 2012. "Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2078-2116.
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    Cited by:

    1. Privault, N. & Yam, S.C.P. & Zhang, Z., 2019. "Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3376-3405.

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