{"paper":{"title":"Convergence rate for the hedging error of a path-dependent example","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Anni Laitinen, Dario Gasbarra","submitted_at":"2016-03-15T16:08:20Z","abstract_excerpt":"We consider a Brownian functional $F=g\\bigl(\\int_0^T \\eta(s) dW_s\\bigr)$ with $g \\in L_2(\\gamma)$ and a singular deterministic $\\eta$. We deduce the $L_2$-convergence rate for the approximation $F^{(n)} = E F + \\int_0^T \\phi^{(n)}(s) dW_s$ for a class of piecewise constant predictable integrands $\\phi^{(n)}$ from the fractional smoothness of $g$ quantified by Besov spaces and the rate of singularity of $\\eta$."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1603.04735","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}