A remark on the asymptotic expansion of density function of Wiener functionals

DOI10.1016/J.JFA.2008.03.019MaRDI QIDQ999856zbMATH OpenOpenAlexFDO

Authors Shigeo Kusuoka, Yasufumi Osajima

Publication date 10 February 2009

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfa.2008.03.019

zbMATH Keywords

asymptotic expansionMalliavin calculus

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites work

• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Equivalent Norms for Sobolev Spaces
• General asymptotics of Wiener functionals and application to implied volatilities
• Large deviations and the Malliavin calculus
• Precise asymptotics of certain Wiener functionals

Cited in

(16)

• Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
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• Marginal density expansions for diffusions and stochastic volatility. II: Applications
• Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
• Asymptotic expansion and estimates of Wiener functionals
• Weak and strong Taylor methods for numerical solutions of stochastic differential equations
• Laplace approximation for rough differential equation driven by fractional Brownian motion
• Methods de laplace et de la phase stationnaire sur l'espace de wiener
• Asymptotics of certain wiener functionals with degenerate extrema
• Precise Laplace approximation for mixed rough differential equation
• Asymptotic expansion approach in finance
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula
• Precise asymptotics: robust stochastic volatility models
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• Note on an extension of an asymptotic expansion scheme
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