Weak approximations for martingale representations

Abstract : We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by obtained by computing a directional derivative of the weak Euler scheme and yield a consistent estimator for the integrand in the martingale representation formula for any square-integrable functional of the solution of an SDE with path-dependent coefficients. Explicit convergence rates are derived for functionals which are Lipschitz-continuous in the supremum norm. Our results require neither the Markov property, nor any differentiability conditions on the functional or the coefficients of the stochastic differential equations involved.
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Article dans une revue
Stochastic Processes and their Applications, Elsevier, 2016, 126 (3), pp.857-882
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Contributeur : Serena Benassù <>
Soumis le : lundi 14 novembre 2016 - 16:14:38
Dernière modification le : jeudi 27 avril 2017 - 09:47:27

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  • HAL Id : hal-01396590, version 1

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Yi Lu, Rama Cont. Weak approximations for martingale representations. Stochastic Processes and their Applications, Elsevier, 2016, 126 (3), pp.857-882. 〈hal-01396590〉

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