Normalized and self-normalized Cramér-type moderate deviations for the Euler-Maruyama scheme for the SDE

Normalized and self-normalized Cramér-type moderate deviations for the Euler-Maruyama scheme for the SDE

In this paper, we establish normalized and self-normalized Cramér-type moderate deviations for the Euler-Maruyama scheme for SDE. Due to our results, Berry-Esseen’s bounds and moderate deviation principles are also obtained. Our normalized Cramér-type moderate deviations refine the recent work of Lu...

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Veröffentlicht in:Science China. Mathematics 2024-08, Vol.67 (8), p.1865-1880
Hauptverfasser: Fan, Xiequan, Hu, Haijuan, Xu, Lihu
Format: Artikel
Sprache:eng
Schlagworte:
Applications of Mathematics
Deviation
Mathematics
Mathematics and Statistics
Online-Zugang:Volltext
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Zusammenfassung:In this paper, we establish normalized and self-normalized Cramér-type moderate deviations for the Euler-Maruyama scheme for SDE. Due to our results, Berry-Esseen’s bounds and moderate deviation principles are also obtained. Our normalized Cramér-type moderate deviations refine the recent work of Lu et al. (2022).
ISSN:1674-7283
1869-1862
DOI:10.1007/s11425-022-2161-4