Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions (Q746199)
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scientific article; zbMATH DE number 6495011
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| English | Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions |
scientific article; zbMATH DE number 6495011 |
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Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions (English)
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16 October 2015
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Ito-Taylor expansion
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saddlepoint approximation
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stochastic differential equation
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transition density
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0.8894775
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0.88930684
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0.88348746
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0.88316566
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0.8820413
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0.8793862
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