A remark on the asymptotic expansion of density function of Wiener functionals

DOI10.1016/j.jfa.2008.03.019zbMath1163.60023MaRDI QIDQ999856

Yasufumi Osajima, Shigeo Kusuoka

Publication date: 10 February 2009

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfa.2008.03.019

zbMATH Keywords

asymptotic expansion; Malliavin calculus

Mathematics Subject Classification ID

60H07: Stochastic calculus of variations and the Malliavin calculus

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Cites Work

• Large deviations and the Malliavin calculus
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Precise asymptotics of certain Wiener functionals
• General Asymptotics of Wiener Functionals and Application to Implied Volatilities
• Equivalent Norms for Sobolev Spaces