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arXiv · 1304.2456

Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process

Hiroki Masuda·Nakahiro Yoshida
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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.

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Hiroki Masuda, Nakahiro Yoshida. 2013-04-09. Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process. https://arxiv.org/abs/1304.2456

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