Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process

Hiroki Masuda, Nakahiro Yoshida

Research output: Contribution to journalArticle

Abstract

We verify the Edgeworth expansion of any order for the integrated ergodic Lévy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Poisson space. Due to the special structure of the model, each coefficient of the expansion can be given in a closed form.

Original languageEnglish
Article number94
JournalElectronic Communications in Probability
Volume18
DOIs
Publication statusPublished - Dec 19 2013

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Edgeworth Expansion
Malliavin Calculus
Ornstein-Uhlenbeck Process
Truncation
Siméon Denis Poisson
Closed-form
Verify
Coefficient
Model
Integrated
Edgeworth expansion
Coefficients
Ornstein-Uhlenbeck process
Malliavin calculus

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process. / Masuda, Hiroki; Yoshida, Nakahiro.

In: Electronic Communications in Probability, Vol. 18, 94, 19.12.2013.

Research output: Contribution to journalArticle

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