Abstract
The distributions of stochastic integrals are approximated by the distributions of stochastic integrals of piece-wise constant processes. The rate of approximation in some negative Sobolev spaces is estimated. Generalizations are given for problems arising in control theory.
Citation
N. V. Krylov. "Mean value theorems for stochastic integrals." Ann. Probab. 29 (1) 385 - 410, February 2001. https://doi.org/10.1214/aop/1008956335
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