Two quadrature rules for stochastic Itô-integrals with fractional Sobolev regularity
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 Wσ,p(0,T), σ ∈(0,2), p∈[2,∞). We introduce two quadrature rules: The first is best suited for the parameter range σ ∈(0,1) and consists of a Riemann-Maruyama approximation on a randomly shifted grid. The second quadrature