Edgeworth expansion for Euler approximation of continuous diffusion processes

Mark Podolskij (), Bezirgen Veliyev and Nakahiro Yoshida ()
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Mark Podolskij: Aarhus University, Department of Mathematics and CREATES, Postal: Aarhus University, Ny Munkegade 118, 8000 Aarhus C, Denmark
Nakahiro Yoshida: University of Tokyo, Postal: Graduate School of Mathematical Science, 3-8-1 Komaba, Meguro-ku, Tokyo 153, Japan

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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 [22], 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.

Keywords: diffusion processes; Edgeworth expansion; Euler scheme; limit theorems (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 C15 (search for similar items in EconPapers)
Pages: 35
Date: 2018-11-25
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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