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  • Search: subject:"Multivariate diffusions"
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Subject
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Closed-form density expansion 1 Delta expansion 1 Doss transformation 1 Estimation theory 1 Itô-Taylor expansion 1 Malliavin derivatives 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Multivariate diffusions 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastischer Prozess 1 multivariate diffusions 1
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Undetermined 2
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Chen, Nan 1 Detemple, Jérôme 1 Garcia, René 1 Rindisbacher, Marcel 1 Wan, Xiangwei 1 Yang, Nian 1
Published in...
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Finance and Stochastics 1 Journal of econometrics 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
Yang, Nian; Chen, Nan; Wan, Xiangwei - In: Journal of econometrics 209 (2019) 2, pp. 256-288
Persistent link: https://www.econbiz.de/10012302594
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Representation formulas for Malliavin derivatives of diffusion processes
Detemple, Jérôme; Garcia, René; Rindisbacher, Marcel - In: Finance and Stochastics 9 (2005) 3, pp. 349-367
We provide new representation formulas for Malliavin derivatives of diffusions, based on a transformation of the underlying processes. Both the univariate and the multivariate cases are considered. First order as well as higher order Malliavin derivatives are characterized. Numerical...
Persistent link: https://www.econbiz.de/10005184358
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