کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5130047 1378655 2017 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Intrinsic expansions for averaged diffusion processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Intrinsic expansions for averaged diffusion processes
چکیده انگلیسی

We show that the convergence rate of asymptotic expansions for solutions of SDEs is higher in the case of degenerate diffusion compared to the elliptic case, i.e. it is higher when the Brownian motion directly acts only along some directions. In the scalar case, this phenomenon was already observed in Gobet and Miri 2014 using Malliavin calculus techniques. Here, we provide a general and detailed analysis by employing the recent study of intrinsic functional spaces related to hypoelliptic Kolmogorov operators in Pagliarani et al. 2016. Applications to finance are discussed, in the study of path-dependent derivatives (e.g. Asian options) and in models incorporating dependence on past information.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 127, Issue 8, August 2017, Pages 2560-2585
نویسندگان
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