Translator Disclaimer
2013 Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process
Hiroki Masuda, Nakahiro Yoshida
Author Affiliations +
Electron. Commun. Probab. 18: 1-10 (2013). DOI: 10.1214/ECP.v18-2726

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.

Citation

Download Citation

Hiroki Masuda. Nakahiro Yoshida. "Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process." Electron. Commun. Probab. 18 1 - 10, 2013. https://doi.org/10.1214/ECP.v18-2726

Information

Accepted: 19 December 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1329.60282
MathSciNet: MR3151750
Digital Object Identifier: 10.1214/ECP.v18-2726

Subjects:
Primary: 60F05
Secondary: 62E20

JOURNAL ARTICLE
10 PAGES


SHARE
Back to Top