Department of Economics and Business Economics

Edgeworth expansion for Euler approximation of continuous diffusion processes

Research output: Working paper/Preprint Working paperResearch

Standard

Edgeworth expansion for Euler approximation of continuous diffusion processes. / Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

Research output: Working paper/Preprint Working paperResearch

Harvard

Podolskij, M, Veliyev, B & Yoshida, N 2018 'Edgeworth expansion for Euler approximation of continuous diffusion processes' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Podolskij, M., Veliyev, B., & Yoshida, N. (2018). Edgeworth expansion for Euler approximation of continuous diffusion processes. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2018-28

CBE

Podolskij M, Veliyev B, Yoshida N. 2018. Edgeworth expansion for Euler approximation of continuous diffusion processes. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Podolskij, Mark, Bezirgen Veliyev and Nakahiro Yoshida Edgeworth expansion for Euler approximation of continuous diffusion processes. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2018-28). 2018., 35 p.

Vancouver

Podolskij M, Veliyev B, Yoshida N. Edgeworth expansion for Euler approximation of continuous diffusion processes. Aarhus: Institut for Økonomi, Aarhus Universitet. 2018 Nov 27.

Author

Podolskij, Mark ; Veliyev, Bezirgen ; Yoshida, Nakahiro. / Edgeworth expansion for Euler approximation of continuous diffusion processes. Aarhus : Institut for Økonomi, Aarhus Universitet, 2018. (CREATES Research Papers; No. 2018-28).

Bibtex

@techreport{9cb582d930e442209a3c0b2f4e80e1c6,
title = "Edgeworth expansion for Euler approximation of continuous diffusion processes",
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",
author = "Mark Podolskij and Bezirgen Veliyev and Nakahiro Yoshida",
year = "2018",
month = nov,
day = "27",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2018-28",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Edgeworth expansion for Euler approximation of continuous diffusion processes

AU - Podolskij, Mark

AU - Veliyev, Bezirgen

AU - Yoshida, Nakahiro

PY - 2018/11/27

Y1 - 2018/11/27

N2 - 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.

AB - 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.

KW - diffusion processes, Edgeworth expansion, Euler scheme, limit theorems

M3 - Working paper

T3 - CREATES Research Papers

BT - Edgeworth expansion for Euler approximation of continuous diffusion processes

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -