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math.PR2018
The asymptotic expansion of the regular discretization error of Itô integrals
Elisa Alòs, Masaaki Fukasawa
We study a Edgeworth-type refinement of the central limit theorem for the discretizacion error of Itô integrals. Towards this end, we introduce a new approach, based on the anticip…
math.PR2008★ 11 cited
An anticipating Itô formula for Lévy processes
Elisa Alòs, Jorge A. León, Josep Vives
In this paper, we use the Malliavin calculus techniques to obtain an anticipative version of the change of variable formula for Lévy processes. Here the coefficients are in the dom…