Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations-Reference-Cited by-同舟云学术

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Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations

Published:2013-08-12 Issue:1 Volume:67 Page:40-82
ISSN:0010-3640
Container-title:Communications on Pure and Applied Mathematics
language:en
Short-container-title:Comm. Pure Appl. Math

Author:

Deuschel J. D.¹,Friz P. K.²³,Jacquier A.⁴,Violante S.⁵

Affiliation:

1. TU Berlin; Fakultät II; Institut für Mathematik; MA 7-4, Strasse des 17. Juni 136 10623 Berlin GERMANY

2. TU Berlin; Fakultät II; Institut für Mathematik; MA 7-, Strasse des 17. Juni 136 10623 Berlin GERMANY

3. Weierstrass Institute for Applied, Analysis and Stochastics; Mohrenstrasse 39 10117 Berlin GERMANY

4. Department of Mathematics; Imperial College London; London SW7 2AZ GREAT BRITAIN

5. TU Berlin; Fakultät II; Institut für Mathematik; MA 706, Strasse des 17. Juni 136 10623 Berlin GERMANY

Publisher

Wiley

Subject

Applied Mathematics,General Mathematics

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/cpa.21478/fullpdf

Reference41 articles.

1. Petites perturbations aléatoires des systèmes dynamiques: développements asymptotiques;Azencott;Bull. Sci. Math. (2),1985

2. Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus;Arous;Ann. Sci.École Norm. Sup. (4),1988

3. Methods de Laplace et de la phase stationnaire sur l'espace de Wiener;Arous;Stochastics,1988

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