Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process

Abstract

We verify the Edgeworth expansion of any order for the integrated ergodic Levy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Poisson space. Due to the special structure of the model, the coefficients of the expansion can be given in a closed form.

9 pages