Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
Author:
Affiliation:
1. Department of Mathematics, Faculty of Science and Technology, University of Macau, Macau, China
2. Zhongtai Securities Institute for Financial Studies, Shandong University, 250100, Jinan, China
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Subject
Statistics and Probability
Reference40 articles.
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3. Bao, J., Huang, X. and Yuan, C. (2019). New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts. Commun. Pure Appl. Anal. 18 341–360.
4. Bao, J. and Shao, J. (2018). Weak convergence of path-dependent SDEs with irregular coefficients. Preprint arXiv:1809.03088.
5. Bao, J. and Yuan, C. (2013). Convergence rate of EM scheme for SDDEs. Proc. Amer. Math. Soc. 141 3231–3243.
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