The density asymptotics associated with a stochastic differential equation

DOI10.1016/0895-7177(94)90163-5MaRDI QIDQ1336733zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4199204 (Why is no real title available?)
• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 3676222 (Why is no real title available?)
• Asymptotic expansions of Gaussian integrals
• Gaussian Processes and Hammerstein Integral Equations
• Laplace asymptotic expansions of conditional Wiener integrals and generalized Mehler kernel formulas
• Markoff chains, Wiener integrals, and quantum theory
• On the drift in stochastic mechanics
• On the stochastic Lagrangian and a new derivation of the Schrodinger equation
• Some Asymptotic Formulas for Wiener Integrals

Cited in

(7)

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• Exact asymptotic expression for the density of multiple stochastic integrals
• Densities for rough differential equations under Hörmander's condition
• scientific article; zbMATH DE number 18824 (Why is no real title available?)
• Asymptotic behavior of densities for stochastic functional differential equations
• scientific article; zbMATH DE number 3870362 (Why is no real title available?)
• ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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