Abstract
We consider weak convergence of the rescaled error processes arising from Riemann discretizations of certain stochastic integrals and relate the $L_p$-integrability of the weak limit to the fractional smoothness in the Malliavin sense of the stochastic integral.
Citation
Stefan Geiss. Anni Toivola. "Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces." Bernoulli 15 (4) 925 - 954, November 2009. https://doi.org/10.3150/09-BEJ197
Information
