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math.PR2018
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…
math.PR2010★ 2 cited
A short Proof of the Doob-Meyer Theorem
Mathias Beiglboeck, Walter Schachermayer, Bezirgen Veliyev
Every submartingale S of class D has a unique Doob-Meyer decomposition S=M+A, where M is a martingale and A is a predictable increasing process starting at 0. We provide a short an…