Explicit form of approximate transition probability density functions of diffusion processes
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Cited in
(19)- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- The most probable transition paths of stochastic dynamical systems: a sufficient and necessary characterisation
- Approximate maximum likelihood estimation of a threshold diffusion process
- Non parametric estimation of transition density for second-order diffusion processes
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- Transition probability density of a certain diffusion process concentrated on a finite spatial interval
- Statistical exponential formulas for homogeneous diffusion
- A representation formula for transition probability densities of diffusions and applications
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- A stochastic log-logistic diffusion process: Statistical computational aspects and application to real data
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- An approximation of small-time probability density functions in a general jump diffusion model
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
- Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
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