Asymptotic expansion of the quadratic variation of fractional stochastic differential equation

Hayate Yamagishi and Nakahiro Yoshida

Stochastic Processes and their Applications, 2024, vol. 175, issue C

Abstract: We derive an asymptotic expansion for the quadratic variation of a stochastic process satisfying a stochastic differential equation driven by a fractional Brownian motion, based on the theory of asymptotic expansion of Skorohod integrals converging to a mixed normal limit. In order to apply the general theory, it is necessary to estimate functionals that are a randomly weighted sum of products of multiple integrals of the fractional Brownian motion, in expanding the quadratic variation and identifying the limit random symbols. To overcome the difficulty, we utilized the theory of exponents of functionals, which was introduced by the authors in Yamagishi and Yoshida (2023).

Keywords: Asymptotic expansion; Skorohod integral; Mixed normal distribution; Malliavin calculus; Fractional Brownian motion; Exponent (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spa.2024.104389

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