The asymptotic expansion of the regular discretization error of It\^o integrals
Probability
2018-02-22 v1
Abstract
We study a Edgeworth-type refinement of the central limit theorem for the discretizacion error of It\^o integrals. Towards this end, we introduce a new approach, based on the anticipating It\^o formula. This alternative technique allows us to compute explicitly the terms of the corresponding expansion formula.
Keywords
Cite
@article{arxiv.1802.07448,
title = {The asymptotic expansion of the regular discretization error of It\^o integrals},
author = {Elisa Alòs and Masaaki Fukasawa},
journal= {arXiv preprint arXiv:1802.07448},
year = {2018}
}