The density asymptotics associated with a stochastic differential equation

DOI10.1016/0895-7177(94)90163-5zbMATH Open0807.60053OpenAlexW2094329655WikidataQ115362952 ScholiaQ115362952MaRDI QIDQ1336733FDOQ1336733

Authors: Ian M. Davies 

Publication date: 22 February 1995

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0895-7177(94)90163-5

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zbMATH Keywords

stochastic differential equationLaplace asymptotic expansionssmall values of the diffusion constant

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Quantum stochastic calculus (81S25)

Cites Work

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• Some Asymptotic Formulas for Wiener Integrals
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• On the stochastic Lagrangian and a new derivation of the Schrodinger equation
• Markoff chains, Wiener integrals, and quantum theory
• Gaussian Processes and Hammerstein Integral Equations
• On the drift in stochastic mechanics
• Asymptotic expansions of Gaussian integrals
• Laplace asymptotic expansions of conditional Wiener integrals and generalized Mehler kernel formulas

Cited In (7)

• Title not available (Why is that?)
• Exact asymptotic expression for the density of multiple stochastic integrals
• Densities for rough differential equations under Hörmander's condition
• Title not available (Why is that?)
• Asymptotic behavior of densities for stochastic functional differential equations
• Title not available (Why is that?)
• ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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