Small time chaos approximations for heat kernels of multidimensional diffusions

DOI10.1007/S10543-023-00949-ZMaRDI QIDQ2684440zbMATH OpenOpenAlexFDO

Authors D. O. Ivanenko, Arturo Kohatsu-Higa, A. 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

expansionsHermite functionsstochastic differential equations

Mathematics Subject Classification ID

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

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Cites work

• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Analytical expansions for parabolic equations
• Approximation of Markov semigroups in total variation distance
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Closed-form likelihood expansions for multivariate diffusions
• scientific article; zbMATH DE number 4192794 (Why is no real title available?)
• scientific article; zbMATH DE number 4100386 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• Improved local approximation for multidimensional diffusions: The G-rates
• Local limit theorems for transition densities of Markov chains converging to diffusions
• Numerical probability. An introduction with applications to finance
• Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains
• Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme

Cited in

(1)

• On some asymptotic expansions of skew diffusions

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