Edgeworth expansion for Euler approximation of continuous diffusion processes

DOI10.1214/19-AAP1549zbMATH Open1472.60097arXiv1811.07832OpenAlexW3047417562MaRDI QIDQ2657930FDOQ2657930

Bezirgen Veliyev, Nakahiro Yoshida, Mark Podolskij

Publication date: 18 March 2021

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

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.

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

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zbMATH Keywords

Edgeworth expansionEuler schemediffusion processeslimit theorems

Mathematics Subject Classification ID

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

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Cited In (9)

• Title not available (Why is that?)
• Order estimate of functionals related to fractional Brownian motion
• Asymptotic expansion of the quadratic variation of fractional stochastic differential equation
• Asymptotic expansion and estimates of Wiener functionals
• An application of the double Edgeworth expansion to a filtering model with Gaussian limit
• Edgeworth type expansions for Euler schemes for stochastic differential equations.
• Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process
• Edgeworth expansion for ergodic diffusions
• High order asymptotic expansion for Wiener functionals

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