Diffusion processes in a small time interval

DOI10.1002/cpa.3160200404zbMath0278.60051OpenAlexW2068540944MaRDI QIDQ4404215

Publication date: 1967

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.3160200404

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) Hyperbolic conservation laws (35L65) Diffusion processes (60J60) Initial value problems for second-order parabolic equations (35K15)

Related Items

On the small time asymptotics of diffusion processes on Hilbert spaces., Large deviations for the Yang-Mills measure on a compact surface, Large deviations for Brownian motion on the Sierpiński gasket, Rigidity for Markovian maximal couplings of elliptic diffusions, Survival in a nanoforest of absorbing pillars, Aronson's estimates and conditional diffusion processes, The propagation of travelling waves for stochastic generalized KPP equations. Appendix by J. G. Gaines, Sample path large deviations for diffusion processes on configuration spaces over a Riemannian manifold, Unnamed Item, LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS, Stochastic differential geometry: An introduction, Well-posedness and large deviations of the stochastic modified Camassa-Holm equation, Short time asymptotic behaviour and large deviation for Brownian motion on some affine nested fractals, Large deviations for stochastic generalized porous media equations, Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets, Asymptotic Implied Volatility at the Second Order with Application to the SABR Model, First order Feynman-Kac formula, Sample path large deviations and optimal importance sampling for stochastic volatility models, Estimation de Varadhan pour des diffusions à deux paremètres. (Varadhan estimator for two-parameter diffusions), Small Time Asymptotics for an Example of Strictly Hypoelliptic Heat Kernel, Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus, On uniform observability of gradient flows in the vanishing viscosity limit, Short maturity conditional Asian options in local volatility models, Local Volatility, Conditioned Diffusions, and Varadhan's Formula, Heat kernel asymptotics and the distance function in Lipschitz Riemannian manifolds, Option pricing in the moderate deviations regime, Large deviations for Brownian motion on scale irregular Sierpinski gaskets, A Varadhan type estimate on manifolds with time-dependent metrics and constant volume, Dirichlet heat kernel for the Laplacian in a ball, Book Review: Large deviations for stochastic processes, A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition, Reconstructing volatility: Pricing of index options under rough volatility, Mean value formulas for classical solutions to uniformly parabolic equations in the divergence form with non‐smooth coefficients, Short Maturity Asian Options in Local Volatility Models, On the logarithmic energy of points on \(\mathbb{S}^2\), MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES, On the small time asymptotics of scalar stochastic conservation laws, Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion, A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus, Large deviation principles for stochastic volatility models with reflection, A small time large deviation principle for stochastic differential delay equations, On the small time asymptotics of quasilinear parabolic stochastic partial differential equations, Small-time expansion for the density of a planar (quadratic) Langevin diffusion, SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS, The Wasserstein geometry of nonlinear σ models and the Hamilton–Perelman Ricci flow, Well-posedness and the small time large deviations of the stochastic integrable equation governing short-waves in a long-wave model, Closed-form likelihood expansions for multivariate diffusions, Short-time asymptotics of heat kernels of hypoelliptic Laplacians on unimodular Lie groups, Logarithmic heat kernel estimates without curvature restrictions, Extreme statistics of superdiffusive Lévy flights and every other Lévy subordinate Brownian motion, Large deviation principle for the two-dimensional stochastic Navier-Stokes equations with anisotropic viscosity, Moderate deviation principle for the two-dimensional stochastic Navier-Stokes equations with anisotropic viscosity, Differential Harnack inequalities on Riemannian manifolds. I: Linear heat equation, Pointwise bounds on eigenfunctions and wave packets in N-body quantum systems. V: Lower bounds and path integrals, SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL, Small time asymptotics for stochastic evolution equations, The Heston Riemannian distance function, Gaussian bounds for the Dirichlet heat kernel, On the small time behavior of the nonlinear estimation problem for finite bandwidth signals, Stochastic 3D tamed Navier-Stokes equations: existence, uniqueness and small time large deviation principles, Large deviation principles for the stochastic quasi-geostrophic equations, FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES, Unnamed Item, The large-maturity smile for the Heston model, Small time equivalents for the density of a planar quadratic Langevin diffusion, The Effects of Fast Inactivation on Conditional First Passage Times of Mortal Diffusive Searchers, On uniformly subelliptic operators and stochastic area, Classical large deviation theorems on complete Riemannian manifolds, A spectral approach to the shortest path problem, On the small time asymptotics of the two-dimensional stochastic Navier-Stokes equations, On the small time asymptotics of the dynamical \(\Phi_1^4\) model, Embeddings of Riemannian Manifolds with Heat Kernels and Eigenfunctions, Least action principle, heat propagation and subelliptic estimates on certain nilpotent groups, Constructing solutions for a kinetic model of angiogenesis in annular domains, Large deviations, A tri-allelic diffusion model with selection, migration, and mutation, Small noise limit and convexity for generalized incompressible flows, Schrödinger problems, and optimal transport, Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness, Incorporating Radiation in Noise-Induced Phase Evolution of Optical Solitons, Second term of the logarithmic asymptotics of path integrals, The principle of not feeling the boundary for the SABR model, Laplace Dirichlet heat kernels in convex domains, Short Maturity Forward Start Asian Options in Local Volatility Models, The one-dimensional diffusion process and unitary representations of \(R^ 1\)., Asymptotic behaviour of the Bessel heat kernels, The Atiyah-Singer theorems: A probabilistic approach. I: The index theorem, Approximate solutions to second order parabolic equations. I: Analytic estimates, Stochastic delay equations with hereditary drift: Estimates of the density, Logarithmic estimates for the density of hypoelliptic two-parameter diffusions, Extreme hitting probabilities for diffusion*