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arXiv · 1212.5845

Asymptotic expansion for the quadratic form of the diffusion process

Nakahiro Yoshida
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Abstract

In [8], asymptotic expansion of the martingale with mixed normal limit was provided. The expansion formula is expressed by the adjoint of a random symbol with coefficients described by the Malliavin calculus, differently from the standard invariance principle. As an application, an asymptotic expansion for a quadratic form of a diffusion process was derived in the same paper. This article gives some details of the derivation, after a short review of the martingale expansion in mixed normal limit.

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Nakahiro Yoshida. 2012-12-23. Asymptotic expansion for the quadratic form of the diffusion process. https://arxiv.org/abs/1212.5845

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