Asymptotic expansion of Skorohod integrals

DOI10.1214/19-EJP310zbMath1448.60119arXiv1801.00120OpenAlexW2987781072MaRDI QIDQ2279312

Nakahiro Yoshida, David Nualart

Publication date: 12 December 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.00120

zbMATH Keywords

interpolationasymptotic expansionfractional Brownian motionquadratic formSkorohod integralrandom symbolMalliavain covariancemodified quasi torsionquasi tangentquasi torsion

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (8)

Quasi-likelihood analysis and its applications ⋮ High order asymptotic expansion for Wiener functionals ⋮ Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion ⋮ Edgeworth expansions for volatility models ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Asymptotic expansion of an estimator for the Hurst coefficient ⋮ Order estimate of functionals related to fractional Brownian motion ⋮ Adaptive estimation for degenerate diffusion processes

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