Edgeworth expansion for Euler approximation of continuous diffusion processes

Mark Podolskij; Bezirgen Veliyev; Nakahiro Yoshida

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arXiv · 1811.07832

Edgeworth expansion for Euler approximation of continuous diffusion processes

Mark Podolskij·Bezirgen Veliyev·Nakahiro Yoshida

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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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Mark Podolskij, Bezirgen Veliyev, Nakahiro Yoshida. 2018-11-19. Edgeworth expansion for Euler approximation of continuous diffusion processes. https://arxiv.org/abs/1811.07832

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