Malliavin calculus, geometric mixing, and expansion of diffusion functionals |
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Authors: | Shigeo Kusuoka Nakahiro Yoshida |
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Affiliation: | (1) Graduate School of Mathematical Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan., JP |
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Abstract: | Under geometric mixing condition, we presented asymptotic expansion of the distribution of an additive functional of a Markov or an ε-Markov process with finite autoregression including Markov type semimartingales and time series models with discrete time parameter. The emphasis is put on the use of the Malliavin calculus in place of the conditional type Cramér condition, whose verification is in most case not easy for continuous time processes without such an infinite dimensional approach. In the second part, by means of the perturbation method and the operational calculus, we proved the geometric mixing property for non-symmetric diffusion processes, and presented a sufficient condition which is easily checked in practice. Accordingly, we obtained asymptotic expansion of diffusion functionals and proved the validity of it under mild conditions, e.g., without the strong contractivity condition. Received: 7 September 1997 / Revised version: 17 March 1999 |
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