Conditional expansions and their applications.
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Cites work
- An asymptotic expansion approach to pricing financial contingent claims
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Approximate and limit results for nonlinear filters with small observation noise: the linear sensor and constant diffusion coefficient case
- Asymptotic conditional inference for the offspring mean of a supercritical Galton-Watson process
- Asymptotic expansions for perturbed systems on Wiener space: Maximum likelihood estimators
- Asymptotic expansions of Bayes estimators for small diffusions
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise
- Expansion of distribution of maximum likelihood estimate for misspecified diffusion type observation
- Expansion of perturbed random variables based on generalized Wiener functionals
- Higher order asymptotics.
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- Information criteria for small diffusions via the theory of Malliavin-Watanabe
- Lectures on stochastic differential equations and Malliavin calculus
- Non-Gaussian seasonal adjustment
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Partial non-Gaussian state space
- Precise asymptotics of certain Wiener functionals
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- The asymptotic expansion approach to the valuation of interest rate contingent claims
- The Monte-Carlo method for filtering with discrete-time observations
Cited in
(23)- Statistical inference for stochastic differential equations with small noises
- On penalized estimation for dynamical systems with small noise
- Hybrid estimators for small diffusion processes based on reduced data
- Partial mixing and Edgeworth expansion
- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
- Asymptotic expansion for some local volatility models arising in finance
- Asymptotic expansion and estimates of Wiener functionals
- Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
- On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
- Asymptotic expansions for conditional moments of Bernoulli trials
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Asymptotic expansion approach in finance
- Parameter estimation of stochastic differential equation driven by small fractional noise
- Pricing average and spread options under local-stochastic volatility jump-diffusion models
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- Estimation of intrinsic growth factors in a class of stochastic population model
- Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises
- High order asymptotic expansion for Wiener functionals
- Coefficients of asymptotic expansions of SDE with jumps
- Adaptive inference for small diffusion processes based on sampled data
- 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
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