Edgeworth expansion for Euler approximation of continuous diffusion processes

DOI10.1214/19-AAP1549zbMath1472.60097arXiv1811.07832OpenAlexW3047417562MaRDI QIDQ2657930

Bezirgen Veliyev, Nakahiro Yoshida, Mark Podolskij

Publication date: 18 March 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.07832

zbMATH Keywords

diffusion processeslimit theoremsEdgeworth expansionEuler scheme

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (3)

High order asymptotic expansion for Wiener functionals ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Order estimate of functionals related to fractional Brownian motion

Cites Work

• Edgeworth expansion for functionals of continuous diffusion processes
• Second-order asymptotic expansion for a non-synchronous covariation estimator
• A note on strong solutions of stochastic differential equations with a discontinuous drift coeffi\-cient
• On mixing and stability of limit theorems
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Malliavin calculus and asymptotic expansion for martingales
• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• The Euler scheme with irregular coefficients
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Martingale expansion in mixed normal limit
• Edgeworth expansion for the pre-averaging estimator
• Rate of Convergence of the Euler Approximation for Diffusion Processes
• The Malliavin Calculus and Related Topics
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
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