Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process

DOI10.1214/ECP.V18-2726zbMATH Open1329.60282arXiv1304.2456OpenAlexW2047147607MaRDI QIDQ743070FDOQ743070

Authors: Hiroki Masuda, Nakahiro Yoshida 

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We verify the Edgeworth expansion of any order for the integrated ergodic Levy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Poisson space. Due to the special structure of the model, the coefficients of the expansion can be given in a closed form.

Full work available at URL: https://arxiv.org/abs/1304.2456

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zbMATH Keywords

Malliavin calculusEdgeworth expansionmixing propertyWiener-Poisson spaceLévy driven Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Diffusion processes (60J60)

Cited In (2)

• Title not available (Why is that?)
• Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model

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