Department of Economics and Business Economics

Edgeworth expansion for Euler approximation of continuous diffusion processes

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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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages35
Publication statusPublished - 27 Nov 2018
SeriesCREATES Research Papers
Number2018-28

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