Abstract
We study the complexity of stochastic integration with respect to an isonormal process defined on a bounded Lipschitz domain Q⊂Rd. We consider integration of functions from Sobolev spaces Wpr(Q) and analyze the complexity in the deterministic and randomized setting. Matching upper and lower bounds for the n-th minimal error are established, this way determining the complexity of the problem. It turns out that the stochastic integration problem is closely related to approximation of the embedding of Wpr(Q) into L2(Q).
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