Conditional expansions and their applications.

DOI10.1016/S0304-4149(03)00046-2zbMath1075.60515MaRDI QIDQ2574589

Nakahiro Yoshida

Publication date: 29 November 2005

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

zbMATH Keywords

perturbationasymptotic expansionMalliavin calculusconditional distributiondouble Edgeworth expansion

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Limit theorems in probability theory (60F99)

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Cites Work

• Lectures on stochastic differential equations and Malliavin calculus
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• Pricing options under stochastic interest rates: a new approach
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Asymptotic conditional inference for the offspring mean of a supercritical Galton-Watson process
• Precise asymptotics of certain Wiener functionals
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Asymptotic expansions of Bayes estimators for small diffusions
• Expansion of perturbed random variables based on generalized Wiener functionals
• Non-Gaussian seasonal adjustment
• Asymptotic expansions for perturbed systems on Wiener space: Maximum likelihood estimators
• Information criteria for small diffusions via the theory of Malliavin-Watanabe
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise
• Approximate and limit results for nonlinear filters with small observation noise: the linear sensor and constant diffusion coefficient case
• Partial non-Gaussian state space
• Expansion of distribution of maximum likelihood estimate for misspecified diffusion type observation
• The Monte-Carlo method for filtering with discrete-time observations
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