ASYMPTOTIC ANALYSIS OF THE EDGEWORTH COEFFICIENT FOR A DIFFUSION UNDER THE INFLUENCE OF AN ACCELERATED INCOMPRESSIBLE DRIFT

Brice Franke (1) , Adel Ouled Said (1)

1 LMBA - Laboratoire de Mathématiques de Bretagne Atlantique

We analyze the asymptotic behavior of the third coefficient of the Edge-worth expansion of some diffusion under the influence of a drift, which grows to infinity. To do this analysis, we have to extend some result on Edgeworth expansions for discrete time Markov chains from Kontoyiannis and Meyn to diffusion.

Domaines: Mathématiques [math]

Brice Franke, Adel Ouled Said. ASYMPTOTIC ANALYSIS OF THE EDGEWORTH COEFFICIENT FOR A DIFFUSION UNDER THE INFLUENCE OF AN ACCELERATED INCOMPRESSIBLE DRIFT. 2020. ⟨hal-02935424⟩