B1592
Title: Edgeworth expansion for Euler approximation of continuous diffusion processes
Authors: Mark Podolskij - Aarhus University (Denmark)
Nakahiro Yoshida - University of Tokyo (Japan)
Bezirgen Veliyev - Aarhus University (Denmark) [presenting]
Abstract: An Edgeworth expansion is presented for the Euler approximation scheme of a continuous diffusion process driven by a Brownian motion. Our methodology is based upon a recent work that 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.
Journal