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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| English | Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations |
scientific article; zbMATH DE number 6259419 |
Statements
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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0.8749477863311768
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0.7652228474617004
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0.7574236989021301
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0.7500104904174805
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