Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
type: Item
instance of: scholarly article
title: Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
zbMATH Open document ID: 1322.62214
author: Andrew T. A. Wood
author: Simon Preston
published in: Statistics and Computing
publication date: 2015-10-16T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 6495011
zbMATH Keywords: Ito-Taylor expansion
zbMATH Keywords: saddlepoint approximation
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: transition density
MaRDI profile type: Publication
full work available at URL: s11222-010-9218-8
OpenAlex ID: W2084872986
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DOI: 10.1007/S11222-010-9218-8
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description: scientific article; zbMATH DE number 6495011