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arXiv · 1802.07448

The asymptotic expansion of the regular discretization error of Itô integrals

Elisa Alòs·Masaaki Fukasawa
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Abstract

We study a Edgeworth-type refinement of the central limit theorem for the discretizacion error of Itô integrals. Towards this end, we introduce a new approach, based on the anticipating Itô formula. This alternative technique allows us to compute explicitly the terms of the corresponding expansion formula.

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Elisa Alòs, Masaaki Fukasawa. 2018-02-21. The asymptotic expansion of the regular discretization error of Itô integrals. https://arxiv.org/abs/1802.07448

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