Edgeworth expansion for Euler approximation of continuous diffusion processes
نویسندگان
چکیده
منابع مشابه
Edgeworth expansion for functionals of continuous diffusion processes
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the second order Edgeworth expansion for power variation of diffusion processes. Our methodology relies on martingale embedding, Malliavin calculus and stable central...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2020
ISSN: 1050-5164
DOI: 10.1214/19-aap1549