Martingale expansion in mixed normal limit

DOI10.1016/j.spa.2012.10.007zbMath1261.60034arXiv1210.3680OpenAlexW2032065332MaRDI QIDQ1940237

Nakahiro Yoshida

Publication date: 6 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.3680

zbMATH Keywords

asymptotic expansionquadratic formMalliavin calculusmartingaledouble Itô integralmixed normal distributionrandom symbol

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07)

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