Asymptotic expansion of Skorohod integrals

DOI10.1214/19-EJP310MaRDI QIDQ2279312zbMATH OpenOpenAlexFDO

Authors David Nualart, Nakahiro Yoshida

Publication date 12 December 2019

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.00120, https://projecteuclid.org/euclid.ejp/1572508843

zbMATH Keywords

asymptotic expansionfractional Brownian motioninterpolationMalliavain covariancemodified quasi torsionquadratic formquasi tangentquasi torsionrandom symbolSkorohod integral

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic distribution theory in statistics (62E20)

Abstract: Asymptotic expansion of the distribution of a perturbation $Z_n$ of a Skorohod integral jointly with a reference variable $X_n$ is derived. We introduce a second-order interpolation formula in frequency domain to expand a characteristic functional and combine it with the scheme developed in the martingale expansion. The second-order interpolation and Fourier inversion give asymptotic expansion of the expectation $E[f(Z_n,X_n)]$ for differentiable functions $f$ and also measurable functions $f$. In the latter case, the interpolation method connects the two non-degeneracies of variables for finite $n$ and $infty$. Random symbols are used for expressing the asymptotic expansion formula. Quasi tangent, quasi torsion and modified quasi torsion are introduced in this paper. We identify these random symbols for a certain quadratic form of a fractional Brownian motion and for a quadratic from of a fractional Brownian motion with random weights. For a quadratic form of a Brownian motion with random weights, we observe that our formula reproduces the formula originally obtained by the martingale expansion.

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Cited in

(11)

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• Exponential tightness of a family of Skorohod integrals
• Quasi-likelihood analysis and its applications
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Asymptotic expansion and estimates of Wiener functionals
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