Cram\'er-type moderate deviations for Euler-Maruyama scheme for SDE
Probability
2023-05-19 v3
Abstract
In this paper, we establish normalized and self-normalized Cram\'er-type moderate deviations for Euler-Maruyama scheme for SDE. As a consequence of our results, Berry-Esseen's bounds and moderate deviation principles are also obtained. Our normalized Cram\'er-type moderate deviations refines the recent work of [Lu, J., Tan, Y., Xu, L., 2022. Central limit theorem and self-normalized Cram\'er-type moderate deviation for Euler-Maruyama scheme. Bernoulli 28(2): 937--964].
Cite
@article{arxiv.2209.06475,
title = {Cram\'er-type moderate deviations for Euler-Maruyama scheme for SDE},
author = {Xiequan Fan and Haijuan Hu and Lihu Xu},
journal= {arXiv preprint arXiv:2209.06475},
year = {2023}
}
Comments
21 pages