Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
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DOI：
10.1002/cpa.21478
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发表时间：
2014-01-01
影响因子：
3
通讯作者：
Violante, S.
中科院分区：
文献类型：
--
作者：
Deuschel, J. D.;Friz, P. K.;Violante, S.
讨论了亚椭圆扩散(X-1，…，X-d)的密度展开式。我们特别感兴趣的是与L在时间T>；0的投影(X-T(1)，…，X-T(L))的密度展开
Density expansions for hypoelliptic diffusions (X-1, ... , X-d) are revisited. We are particularly interested in density expansions of the projection (X-T(1), ... ,X-T(l)) at time T > 0 with l