Malliavin calculus and asymptotic expansion for martingales

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説明

We present an asymptotic expansion of the distribution of a random variable which admits a stochastic expansion around a continuous martingale. The emphasis is put on the use of the Malliavin calculus; the uniform nondegeneracy of the Malliavin covariance under certain truncation plays an essential role as the Cramer condition did in the case of independent observations. Applications to statistics are presented.

収録刊行物

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