Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process

Hiroki Masuda (Kyushu University)
Nakahiro Yoshida (University of Tokyo)

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.

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Pages: 1-10

Publication Date: December 19, 2013

DOI: 10.1214/ECP.v18-2726

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