Stable convergence in law in approximation of stochastic integrals with respect to diffusions

MaRDI QIDQ6621974

Snježana Lubura Strunjak

Publication date: 21 October 2024

Published in: Mathematical Communications (Search for Journal in Brave)

zbMATH Keywords

diffusion processesstochastic integralsasymptotic mixed normality

Mathematics Subject Classification ID

Stochastic integrals (60H05) Limit theorems in probability theory (60F99)

Cites Work

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• Power variation for Gaussian processes with stationary increments
• Limit distributions for the error in approximations of stochastic integrals
• On mixing and stability of limit theorems
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Inference for Continuous Semimartingales Observed at High Frequency
• Maximum likelihood estimation for continuous-time stochastic processes
• Local asymptotic mixed normality of approximate maximum likelihood estimator of drift parameters in diffusion model

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