Cramér-type moderate deviations for Euler-Maruyama scheme for SDE

Abstract

In this paper, we establish normalized and self-normalized Cramér-type moderate deviations for Euler-Maruyama scheme for SDE. As a consequence of our results, Berry-Esseen's bounds and moderate deviation principles are also obtained. Our normalized Cramér-type moderate deviations refines the recent work of [Lu, J., Tan, Y., Xu, L., 2022. Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme. Bernoulli 28(2): 937--964].

21 pages