Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions

DOI10.1007/S11222-010-9218-8MaRDI QIDQ746199zbMATHOpenAlexFDO

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

zbMATH Keywords

stochastic differential equationsaddlepoint approximationtransition densityIto-Taylor expansion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Saddlepoint Approximations with Applications
• Saddlepoint approximations for continuous-time Markov processes

Cited in

(8)

• A new technique for simulating the likelihood of stochastic differential equations
• Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data
• Stochastic Pareto diffusion process: statistical analysis and computational issues. Simulation and application
• Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
• Using coupling methods to estimate sample quality of stochastic differential equations
• An approximation of small-time probability density functions in a general jump diffusion model
• Parameter inference for stochastic differential equations with density tracking by quadrature
• Parameter estimation for multivariate diffusion systems

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