On density functions related to discrete time maximum of some one-dimensional diffusion processes
type: Item
instance of: scholarly article
title: On density functions related to discrete time maximum of some one-dimensional diffusion processes
author: Tomonori Nakatsu
published in: Applied Mathematics and Computation
publication date: 2022-12-07T00:00:00Z
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 62G32
zbMATH DE Number: 7627666
zbMATH Keywords: diffusion process
zbMATH Keywords: discrete time maximum
zbMATH Keywords: probability density function
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: asymptotic behavior
zbMATH Keywords: Laplace's method
MaRDI profile type: Publication
full work available at URL: j.amc.2022.127672
OpenAlex ID: W4308945131
cites work: Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
cites work: Bounds for expected maxima of Gaussian processes and their discrete approximations
cites work: A local criterion for smoothness of densities and application to the supremum of the Brownian sheet
cites work: Absolute continuity for some one-dimensional processes
cites work: Applications of Malliavin calculus to Monte Carlo methods in finance
cites work: A Generalization of Laplace's Method
cites work: Q5486563
cites work: Tail behavior of sums and differences of log-normal random variables
cites work: Computation of Greeks for barrier and look-back options using Malliavin calculus
cites work: A theorem on the asymptotic behavior of a multiple integral
cites work: On the Asymptotic Evaluation of a Class of Multiple Integrals Involving a Parameter
cites work: THE ASYMPTOTIC BEHAVIOUS OF A KIND OF MULTIPLE INTEGRALS INVOLVING A PARAMETER
cites work: Smoothness of the distribution of the supremum of a multi-dimensional diffusion process
cites work: Q4772511
cites work: Q4002114
cites work: Smoothness of the law of the supremum of the fractional Brownian motion
cites work: Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
cites work: Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions
cites work: The Malliavin Calculus and Related Topics
cites work: Q3796495
cites work: Q4821976
DOI: 10.1016/J.AMC.2022.127672
description: scientific article; zbMATH DE number 7627666