Edgeworth expansion for Euler approximation of continuous diffusion processes
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Publication:2657930
Abstract: In this paper we present the Edgeworth expansion for the Euler approximation scheme of a continuous diffusion process driven by a Brownian motion. Our methodology is based upon a recent work cite{Yoshida2013}, which establishes Edgeworth expansions associated with asymptotic mixed normality using elements of Malliavin calculus. Potential applications of our theoretical results include higher order expansions for weak and strong approximation errors associated to the Euler scheme, and for studentized version of the error process.
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Cited in
(12)- Edgeworth expansion for the pre-averaging estimator
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- Order estimate of functionals related to fractional Brownian motion
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- Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process
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