63 citations · 209 across the 32 of their papers we have counts for
10 papers · 1 filter
Order estimate of functionals related to fractional Brownian motion and asymptotic expansion of the quadratic variation of fractional stochastic differential equation
Hayate Yamagishi, Nakahiro Yoshida
We derive an asymptotic expansion for the quadratic variation of a stochastic process satisfying a stochastic differential equation driven by a fractional Brownian motion, based on…
Asymptotic expansion of a variation with anticipative weights
Nakahiro Yoshida
Asymptotic expansion of a variation with anticipative weights is derived by the theory of asymptotic expansion for Skorohod integrals having a mixed normal limit. The expansion for…
High order asymptotic expansion for Wiener functionals
Ciprian Tudor, Nakahiro Yoshida
By combining the Malliavin calculus with Fourier techniques, we develop a high-order asymptotic expansion theory for a sequence of vector-valued random variables. Our asymptotic ex…
Edgeworth expansion for Euler approximation of continuous diffusion processes
Mark Podolskij, Bezirgen Veliyev, Nakahiro Yoshida
In this paper we present the Edgeworth expansion for the Euler approximation scheme of a continuous diffusion process driven by a Brownian motion. Our methodology is based upon a r…
Asymptotic expansion of Skorohod integrals
David Nualart, Nakahiro Yoshida
Asymptotic expansion of the distribution of a perturbation of a Skorohod integral jointly with a reference variable is derived. We introduce a second-order interpolatio…
Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos
Ciprian Tudor, Nakahiro Yoshida
We develop the asymptotic expansion theory for vector-valued sequences (F N) N 1 of random variables in terms of the convergence of the Stein-Malliavin matrix associated to th…