Smooth Transition Densities for One-Dimensional Diffusions
From MaRDI portal
Publication:3740766
DOI10.1112/blms/17.2.157zbMath0604.60077MaRDI QIDQ3740766
Publication date: 1985
Published in: Bulletin of the London Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1112/blms/17.2.157
60J60: Diffusion processes
60J35: Transition functions, generators and resolvents
60H20: Stochastic integral equations
Related Items
DUPIRE'S EQUATION FOR BUBBLES, A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions, A Variational Characterization of Langevin-Smoluchowski Diffusions, On the continuity of the root barrier, Theoretical and numerical comparison of some sampling methods for molecular dynamics, QUANTUM MONTE CARLO SIMULATIONS OF FERMIONS: A MATHEMATICAL ANALYSIS OF THE FIXED-NODE APPROXIMATION, On Markov chain approximations for computing boundary crossing probabilities of diffusion processes, First passage densities and boundary crossing probabilities for diffusion processes, A correction note to ``Discrete time hedging errors for options with irregular payoffs, On local linear approximations to diffusion processes, Globally optimal parameter estimates for nonlinear diffusions, Bounds for the transition density of time-homogeneous diffusion processes, Existence of solution for a micro-macro model of polymeric fluid: The FENE model., Bridge representation and modal-path approximation, The hydrodynamic limit for local mean-field dynamics with unbounded spins, Nonparametric drift estimation for i.i.d. paths of stochastic differential equations, Efficient estimation and filtering for multivariate jump-diffusions, A trajectorial approach to relative entropy dissipation of McKean-Vlasov diffusions: gradient flows and HWBI inequalities, On boundary crossing probabilities for diffusion processes, Simulated likelihood estimators for discretely observed jump-diffusions, Local time and the pricing of path-dependent options, Fake exponential Brownian motion, Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme, The delta expansion for the transition density of diffusion models, The computational cost of blocking for sampling discretely observed diffusions, Hitting Times, Occupation Times, Trivariate Laws and the Forward Kolmogorov Equation for a One-Dimensional Diffusion with Memory, Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation, Bessel bridge representation for the heat kernel in hyperbolic space, Regular fundamental solution for a parabolic equation on an infinite–dimensional space
