Two quadrature rules for stochastic Itô-integrals with fractional Sobolev regularity

Abstract

In this paper we study the numerical quadrature of a stochastic integral, where the temporal regularity of the integrand is measured in the fractional Sobolev-Slobodeckij norm in $W^{\sigma,p}(0,T)$, $\sigma \in (0,2)$, $p\in[2,\infty)$. We introduce two quadrature rules: The first is best suited for the parameter range $\sigma \in (0,1)$ and consists of a Riemann-Maruyama approximation on a randomly shifted grid. The second quadrature rule considered in this paper applies to the case of a deterministic integrand of fractional Sobolev regularity with $\sigma\in(1,2)$. In both cases the order of convergence is equal to $\sigma$ with respect to the $L^p$-norm. As an application, we consider the stochastic integration of a Poisson process, which has discontinuous sample paths. The theoretical results are accompanied by numerical experiments.

Publication
Communications in Mathematical Sciences, vol. 16(8), 2125-2146
Raphael Kruse
Raphael Kruse
Professor

Prof. Dr. Raphael Kruse is the head of the working group “Numerik stochastischer Differentialgleichungen” at Martin-Luther-University Halle-Wittenberg. His research interests include numerical methods and stochastic analysis for stochastic evolution equations and Monte Carlo methods.