Conditional expansions and their applications.

DOI10.1016/S0304-4149(03)00046-2zbMath1075.60515MaRDI QIDQ2574589

Nakahiro Yoshida

Publication date: 29 November 2005

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

zbMATH Keywords

perturbation; asymptotic expansion; Malliavin calculus; conditional distribution; double Edgeworth expansion

Mathematics Subject Classification ID

60J60: Diffusion processes

60H07: Stochastic calculus of variations and the Malliavin calculus

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

60F99: Limit theorems in probability theory

Related Items

Coefficients of asymptotic expansions of SDE with jumps, Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises, An application of the double Edgeworth expansion to a filtering model with Gaussian limit, Approximate martingale estimating functions for stochastic differential equations with small noises, Composition with distributions of Wiener-Poisson variables and its asymptotic expansion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Lectures on stochastic differential equations and Malliavin calculus
• An asymptotic expansion approach to pricing financial contingent claims
• Pricing options under stochastic interest rates: a new approach
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Asymptotic conditional inference for the offspring mean of a supercritical Galton-Watson process
• Precise asymptotics of certain Wiener functionals
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Asymptotic expansions of Bayes estimators for small diffusions
• Expansion of perturbed random variables based on generalized Wiener functionals
• Non-Gaussian seasonal adjustment
• Asymptotic expansions for perturbed systems on Wiener space: Maximum likelihood estimators
• Information criteria for small diffusions via the theory of Malliavin-Watanabe
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise
• Approximate and limit results for nonlinear filters with small observation noise: the linear sensor and constant diffusion coefficient case
• Partial non-Gaussian state space
• Expansion of distribution of maximum likelihood estimate for misspecified diffusion type observation
• The Monte-Carlo method for filtering with discrete-time observations