Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations

DOI10.1002/cpa.21478zbMath1300.60093arXiv1111.2462MaRDI QIDQ5746482

Jean-Dominique Deuschel, S. Violante, Peter K. Friz, Antoine Jacquier

Publication date: 18 February 2014

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

Full work available at URL: https://arxiv.org/abs/1111.2462

zbMATH Keywords

control problem; density expansion; hypoelliptic diffusion; Hörmander condition; Hamiltonian ODE; short-time; not-in-cut-locus condition; small-noise

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

34F05: Ordinary differential equations and systems with randomness

58J65: Diffusion processes and stochastic analysis on manifolds

35H10: Hypoelliptic equations

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