Abstract
We verify the Edgeworth expansion of any order for the integrated ergodic Lévy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Poisson space. Due to the special structure of the model, each coefficient of the expansion can be given in a closed form.
Citation
Hiroki Masuda. Nakahiro Yoshida. "Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process." Electron. Commun. Probab. 18 1 - 10, 2013. https://doi.org/10.1214/ECP.v18-2726
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