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

DOI10.1016/J.JFA.2008.03.019zbMATH Open1163.60023OpenAlexW2117382681MaRDI QIDQ999856FDOQ999856

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

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zbMATH Keywords

asymptotic expansionMalliavin calculus

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (16)

• Composition with distributions of Wiener-Poisson variables and its asymptotic expansion
• Title not available (Why is that?)
• 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
• General asymptotics of Wiener functionals and application to implied volatilities
• Note on an extension of an asymptotic expansion scheme
• Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations

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