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
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离散时间Clark-Ocone公式及其在误差分析中的应用
DOI：
10.1007/s10959-016-0666-8
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发表时间：
2016
影响因子：
0.8
通讯作者：
Kaori Okuma
中科院分区：
文献类型：
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作者：
Jiro Akahori;Takafumi Amaba;Kaori Okuma
在本文中，我们将建立Clark(–Ocone–Haussmann)公式的离散时间版本，它可以看作是弱意义上的渐近展开式。该公式应用于估计鞅表示引起的误差。自始至终，我们使用另一种关于高斯分布的分布理论而不是勒贝格测度，它可以被视为离散的马利亚文微积分。
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.