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A Note on Series Approximation of Transition Density of Diffusion Processes
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 Title & Authors
A Note on Series Approximation of Transition Density of Diffusion Processes
Lee, Eun-Kyung; Choi, Young-Soo; Lee, Yoon-Dong;
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 Abstract
Modelling financial phenomena with diffusion processes is frequently used technique. This study reviews the earlier researches on the approximation problem of transition densities of diffusion processes, which takes important roles in estimating diffusion processes, and consider the method to obtain the coefficients of series efficiently, in series approximation method of transition densities. We developed a new efficient algorithm to compute the coefficients which are represented by repeated Dynkin operator on Hermite polynomial.
 Keywords
Diffusion processes;transition density;Girsanov theorem;Dynkin operator;Hermite polynomial;
 Language
Korean
 Cited by
1.
확산모형에 대한 누율생성함수의 근사와 가우도 추정법,이윤동;이은경;

한국경영과학회지, 2013. vol.38. 1, pp.201-216 crossref(new window)
1.
The delta expansion for the transition density of diffusion models, Journal of Econometrics, 2014, 178, 694  crossref(new windwow)
2.
Likelihood Approximation of Diffusion Models through Approximating Brownian Bridge, Korean Journal of Applied Statistics, 2015, 28, 5, 895  crossref(new windwow)
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