Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions

DOI10.1007/s11222-010-9218-8zbMath1322.62214OpenAlexW2084872986MaRDI QIDQ746199

Andrew T. A. Wood, Simon P. Preston

Publication date: 16 October 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-010-9218-8

zbMATH Keywords

stochastic differential equationsaddlepoint approximationtransition densityIto-Taylor expansion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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