Title of article
Localization of Wiener functionals of fractional regularity and applications
Author/Authors
He، نويسنده , , Kai and Ren، نويسنده , , Jiagang and Zhang، نويسنده , , Hua، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2014
Pages
40
From page
2543
To page
2582
Abstract
In this paper we localize some of Watanabe’s results on Wiener functionals of fractional regularity, and use them to give a precise estimate of the difference between two Donsker’s delta functionals even with fractional differentiability. As an application, the convergence rate of the density of the Euler scheme for non-Markovian stochastic differential equations is obtained.
Keywords
Integration by parts , Non-Markovian , Euler scheme , Convergence Rate , fractional order , Donsker’s delta function
Journal title
Stochastic Processes and their Applications
Serial Year
2014
Journal title
Stochastic Processes and their Applications
Record number
1579359
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