Berry–Esseen Inequalities for the Functional Ornstein–Uhlenbeck-Inverse -Gamma Process

Jaya P. N. Bishwal
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Jaya P. N. Bishwal: University of North Carolina at Charlotte, Department of Mathematics and Statistics

Chapter Chapter 7 in Parameter Estimation in Stochastic Volatility Models, 2022, pp 307-349 from Springer

Abstract: Abstract State space transform (SST) of regular diffusions was first studied by Karlin and Taylor (1981, Theorem 2.1, page 173). A standard tool in the theory of diffusions is the concept of scale function (see Itô and McKean (1974) and Revuz and Yor (1991)) which turns one dimensional diffusions into local martingales.

Date: 2022
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DOI: 10.1007/978-3-031-03861-7_7

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