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

DOI10.1016/j.jfa.2008.03.019zbMath1163.60023OpenAlexW2117382681MaRDI QIDQ999856

Yasufumi Osajima, Shigeo Kusuoka

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 expansionMalliavin calculus

Mathematics Subject Classification ID

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

Related Items (10)

Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM ⋮ General Asymptotics of Wiener Functionals and Application to Implied Volatilities ⋮ Asymptotic Expansion Approach in Finance ⋮ Local Volatility, Conditioned Diffusions, and Varadhan's Formula ⋮ Laplace approximation for rough differential equation driven by fractional Brownian motion ⋮ Weak and strong Taylor methods for numerical solutions of stochastic differential equations ⋮ Precise asymptotics: robust stochastic volatility models ⋮ Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations ⋮ Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications ⋮ NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME

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

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