Edgeworth expansion for Euler approximation of continuous diffusion processes

Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro

doi:10.1214/19-AAP1549

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Edgeworth expansion for Euler approximation of continuous diffusion processes

Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro

2020 • In Annals of Applied Probability, 30 (4), p. 1971–2003

Peer Reviewed verified by ORBi

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https://hdl.handle.net/10993/45659

DOI
10.1214/19-AAP1549

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Disciplines :

Mathematics

Author, co-author :

Podolskij, Mark ; University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH)

Veliyev, Bezirgen; Aarhus Universitet - AU > Economics and Management

Yoshida, Nakahiro

External co-authors :

yes

Language :

English

Title :

Edgeworth expansion for Euler approximation of continuous diffusion processes

Publication date :

2020

Journal title :

Annals of Applied Probability

ISSN :

1050-5164

Publisher :

Institute of Mathematical Statistics, United States - Ohio

Volume :

Issue :

Pages :

1971–2003

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBilu :

since 19 January 2021

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