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ASYMPTOTIC ANALYSIS OF THE EDGEWORTH COEFFICIENT FOR A DIFFUSION UNDER THE INFLUENCE OF AN ACCELERATED INCOMPRESSIBLE DRIFT

Abstract : We analyze the asymptotic behavior of the third coefficient of the Edge-worth expansion of some diffusion under the influence of a drift, which grows to infinity. To do this analysis, we have to extend some result on Edgeworth expansions for discrete time Markov chains from Kontoyiannis and Meyn to diffusion.
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https://hal.archives-ouvertes.fr/hal-02935424
Contributor : Ouled Said Adel <>
Submitted on : Thursday, September 10, 2020 - 12:45:17 PM
Last modification on : Thursday, September 17, 2020 - 3:31:25 AM

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  • HAL Id : hal-02935424, version 1

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Brice Franke, Adel Said. ASYMPTOTIC ANALYSIS OF THE EDGEWORTH COEFFICIENT FOR A DIFFUSION UNDER THE INFLUENCE OF AN ACCELERATED INCOMPRESSIBLE DRIFT. 2020. ⟨hal-02935424⟩

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