Laplace approximation of transition densities posed as Brownian expectations

DOI10.1016/j.spa.2008.01.011zbMath1156.60054OpenAlexW2105847148WikidataQ60258699 ScholiaQ60258699MaRDI QIDQ1001846

Bo Markussen

Publication date: 19 February 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://curis.ku.dk/ws/files/14490059/PathWNoise_CURIS.pdf

zbMATH Keywords

stochastic differential equationpath integralmaximum likelihood estimationwhite noiseLaplace approximationmaximum a posteriori estimationdiscrete partial observationrenormalized Brownian density

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Applications of operator theory in probability theory and statistics (47N30)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Generalized Brownian functionals and the Feynman integral
• Applications of white noise calculus to the computation of Feynman integrals
• Conditioned stochastic differential equations: theory, examples and application to finance.
• Martingale estimation functions for discretely observed diffusion processes
• A survey of product-integration with a view toward application in survival analysis
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

This page was built for publication: Laplace approximation of transition densities posed as Brownian expectations