On error rates in normal approximations and simulation schemes for Levy processes
Let X = (X(t) : t greater than or equal to 0) be a Levy process. In simulation, one often wants to know at what size it is possible to truncate the small jumps while retaining enough accuracy. A useful tool here is the Edgeworth expansion. We provide a third order expansion together with a uniform error bound, assuming third Levy moment is 0. We next discuss approximating X in the finite variation
