Yang, Xiangfeng - In: Stochastic Processes and their Applications 123 (2013) 1, pp. 131-155
In this paper, we consider some families of one-dimensional locally infinitely divisible Markov processes {ηtϵ}0≤t≤T with frequent small jumps. For a smooth functional F(x[0,T]) on space D[0,T], the following asymptotic expansions for expectations are proved: as...
