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    Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates by Privault, Nicolas, Yam, Phillip S. C., Zhang, Zheng

    Published 2021
    “…In addition, we derive a convergence rate of O(λ ) for the Poisson discretization of Wiener functionals by combining the multivariate Chen–Stein method with the Malliavin calculus. Our proposed sufficient condition for establishing the mentioned convergence rate involves the kernel functions in the Wiener chaos, yet we provide examples, especially the discretization of some common path dependent Wiener functionals, to which our results apply without committing the explicit computations of such kernels. …”
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    Journal Article
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