3 papers
math.PR2026
Asymptotic Error Distributions for Euler-Maruyama Schemes with Additive Semimartingale Noise
Mikio Hirokane
We establish a joint stable limit theorem for integrated discretization errors of finite-dimensional càdlàg semimartingales whose predictable characteristics are absolutely continu…
math.PR2026
Error Distribution of the Local Linearization Method for Stochastic Differential Equations with Additive Brownian Noise
Masaaki Fukasawa, Mikio Hirokane, Kostas Kardaras
We prove a functional stable limit theorem for the discretization error process of a local linearization scheme for stochastic differential equations with additive Brownian noise.…
math.PR2023
A limit theorem for generalized tempered stable processes and their quadratic variations with stable index tending to two
Masaaki Fukasawa, Mikio Hirokane
We study the limit of the joint distribution of a multidimensional Generalized Tempered Stable (GTS) process and its quadratic covariation process when the stable index tends to tw…