Small time chaos approximations for heat kernels of multidimensional diffusions

DOI10.1007/s10543-023-00949-zOpenAlexW4320485897MaRDI QIDQ2684440

Arturo Kohatsu-Higa, D. O. Ivanenko, Alexei M. Kulik

Publication date: 16 February 2023

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-023-00949-z

zbMATH Keywords

stochastic differential equationsexpansionsHermite functions

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

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• Numerical probability. An introduction with applications to finance
• Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme
• Closed-form likelihood expansions for multivariate diffusions
• Improved local approximation for multidimensional diffusions: The G-rates
• Analytical Expansions for Parabolic Equations

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