A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis

A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis In this paper, we will establish a discrete-time version of Clark(–Ocone–Haussmann) formula, which can be seen as an asymptotic expansion in a weak sense. The formula is applied to the estimation of the error caused by the martingale representation. Throughout, we use another distribution theory with respect to Gaussian rather than Lebesgue measure, which can be seen as a discrete Malliavin calculus. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Theoretical Probability Springer Journals

A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis

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Publisher
Springer US
Copyright
Copyright © 2016 by Springer Science+Business Media New York
Subject
Mathematics; Probability Theory and Stochastic Processes; Statistics, general
ISSN
0894-9840
eISSN
1572-9230
D.O.I.
10.1007/s10959-016-0666-8
Publisher site
See Article on Publisher Site

Abstract

In this paper, we will establish a discrete-time version of Clark(–Ocone–Haussmann) formula, which can be seen as an asymptotic expansion in a weak sense. The formula is applied to the estimation of the error caused by the martingale representation. Throughout, we use another distribution theory with respect to Gaussian rather than Lebesgue measure, which can be seen as a discrete Malliavin calculus.

Journal

Journal of Theoretical ProbabilitySpringer Journals

Published: Jan 18, 2016

References

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