A Note on Series Approximation of Transition Density of Diffusion Processes

- Journal title : Korean Journal of Applied Statistics
- Volume 23, Issue 2, 2010, pp.383-392
- Publisher : The Korean Statistical Society
- DOI : 10.5351/KJAS.2010.23.2.383

Title & Authors

A Note on Series Approximation of Transition Density of Diffusion Processes

Lee, Eun-Kyung; Choi, Young-Soo; Lee, Yoon-Dong;

Lee, Eun-Kyung; Choi, Young-Soo; Lee, Yoon-Dong;

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

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