Aug 28 – 31, 2018
Angers - France
Europe/Paris timezone

The asymptotic expansion of the regular discretization error of Itô integrals

Aug 28, 2018, 10:50 AM
Angers - France

Angers - France


Masaaki Fukasawa (Osaka University)


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.

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