Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process

Hiroki Masuda, Nakahiro Yoshida

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)

    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

    All Science Journal Classification (ASJC) codes

    • Statistics and Probability
    • Statistics, Probability and Uncertainty

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