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Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process


 
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1. Title Title of document Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process
 
2. Creator Author's name, affiliation, country Hiroki Masuda; Kyushu University; Japan
 
2. Creator Author's name, affiliation, country Nakahiro Yoshida; University of Tokyo; Japan
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Edgeworth expansion; mixing property; L¥'evy driven Ornstein-Uhlenbeck process
 
3. Subject Subject classification 60F05; 62E20
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-12-19
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2726
 
10. Identifier Digital Object Identifier 10.1214/ECP.v18-2726
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 18
 
12. Language English=en en
 
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