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 $W^{σ,p}(0,T)$, $σ\in (0,2)$, $p \in [2,\infty)$. We introduce two quadrature rules: The first is best suited for the parameter range $σ\in (0,1)$ 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 $σ\in (1,2)$. In both cases the order of convergence is equal to $σ$ 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.