Closed-form approximations for diffusion densities: A path integral approach. (Q1426782): Difference between revisions

The transition probabilities for diffusion processes \(Y(t)\) governed by a stochastic differential equation of the form \[ dY(t)= A(Y(t))dt + B(Y(t))dW(t), \] where \(W(t)\) is a standard Brownian motion, are studied. Using the Feynman phase integral concept the authors obtain closed-form expressions for transition probabilities and maximal probability phase. For a number of classical diffusion models the implicit analytical forms of the above mentioned expressions are calculated. For models leading to complex path integral the approximation for the transition probabilities is derived. Also the accuracy of these approximations by means of graphical illustrations is given.