On two quadrature rules for stochastic integrals with fractional Sobolev regularity

In this talk we discuss the numerical quadrature of a stochastic integral, where the temporal regularity of the integrand is measured in the fractional Sobolev-Slobodeckij norm in $W^{\sigma,p}(0,T)$, $\sigma \in (0,2)$, $p \in [2,\infty)$. We introduce two quadratures rules: The first is best suited for the parameter range $\sigma \in (0,1)$ and consists of a Riemann-Maruyama approximation on a randomly shifted grid. The second quadrature rule applies to the case of a deterministic integrand of fractional Sobolev regularity with $\sigma \in (1,2)$. In both cases the order of convergence is equal to $\sigma$ with respect to the norm in $L^p(\Omega)$. 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.