Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
DOI10.1007/S11222-010-9218-8zbMATH Open1322.62214OpenAlexW2084872986MaRDI QIDQ746199FDOQ746199
Authors: Andrew T. A. Wood, Simon Preston 
Publication date: 16 October 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-010-9218-8
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Cited In (8)
- Stochastic Pareto diffusion process: statistical analysis and computational issues. Simulation and application
- Using coupling methods to estimate sample quality of stochastic differential equations
- A new technique for simulating the likelihood of stochastic differential equations
- Parameter inference for stochastic differential equations with density tracking by quadrature
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data
- Parameter estimation for multivariate diffusion systems
- An approximation of small-time probability density functions in a general jump diffusion model
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