Small-time expansion for the density of a planar (quadratic) Langevin diffusion

IF 1.1 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics Pub Date : 2022-09-22 DOI:10.1080/17442508.2022.2113789

J. Franchi

引用次数: 0

Abstract

ABSTRACT The unscaled small-time asymptotics of the density is approached by means of the Brownian bridge, regarding planar analogues of the Langevin diffusion, which are strictly hypoelliptic. While the non-quadratic case remains open, in the quadratic case a new precision is derived.

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平面(二次)朗之万扩散密度的小时间展开

摘要利用布朗桥，讨论了平面类似朗之万扩散的无标度小时渐近性，这类扩散是严格的半椭圆型。虽然非二次型情况仍然开放，但在二次型情况下导出了一个新的精度。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance and Stochastics 管理科学-数学跨学科应用

CiteScore

2.90

自引率

5.90%

发文量

审稿时长

>12 weeks

期刊介绍： The purpose of Finance and Stochastics is to provide a high standard publication forum for research - in all areas of finance based on stochastic methods - on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance. Finance and Stochastics encompasses - but is not limited to - the following fields: - theory and analysis of financial markets - continuous time finance - derivatives research - insurance in relation to finance - portfolio selection - credit and market risks - term structure models - statistical and empirical financial studies based on advanced stochastic methods - numerical and stochastic solution techniques for problems in finance - intertemporal economics, uncertainty and information in relation to finance.