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

DOI10.1016/j.jfa.2008.03.019zbMath1163.60023MaRDI QIDQ999856

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 expansion; Malliavin calculus

Mathematics Subject Classification ID

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

General Asymptotics of Wiener Functionals and Application to Implied Volatilities, Asymptotic Expansion Approach in Finance, Local Volatility, Conditioned Diffusions, and Varadhan's Formula, Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations, Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications, Laplace approximation for rough differential equation driven by fractional Brownian motion, NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME, Weak and strong Taylor methods for numerical solutions of stochastic differential equations

Cites Work

• Large deviations and the Malliavin calculus
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Precise asymptotics of certain Wiener functionals
• General Asymptotics of Wiener Functionals and Application to Implied Volatilities
• Equivalent Norms for Sobolev Spaces