Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (Q5746482)

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scientific article; zbMATH DE number 6259419
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Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
scientific article; zbMATH DE number 6259419

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    Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (English)
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    18 February 2014
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    hypoelliptic diffusion
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    density expansion
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    small-noise
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    short-time
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    Hörmander condition
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    not-in-cut-locus condition
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    Hamiltonian ODE
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    control problem
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