28-31 août 2018
Angers - France
Fuseau horaire Europe/Paris

The asymptotic expansion of the regular discretization error of Itô integrals

28 août 2018 à 10:50
30m
Angers - France

Angers - France

Orateur

Masaaki Fukasawa (Osaka University)

Description

We study a Edgeworth-type refinement of the central limit theorem for the discretizacion error of Itô integrals. Towards this end, we introduce a new approach, based on the anticipating I Itô formula. This alternative technique allows us to compute explicitly the terms of the corresponding expansion formula. A joint work with E. Alos.

Documents de présentation

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