Weak approximation of averaged diffusion processes

DOI10.1016/j.spa.2013.08.007zbMath1300.60094MaRDI QIDQ2434489

Mohammed Miri, Emmanuel Gobet

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.08.007

zbMATH Keywords

asymptotic expansion; Malliavin calculus; arithmetic and geometric means; small diffusion process

Mathematics Subject Classification ID

60J60: Diffusion processes

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