Asymptotic expansions and distribution properties for diffusion processes

• المؤلف الرئيسي: She, Qihao
• مؤلفون آخرون: Nicolas Privault
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2017
• الموضوعات: DRNTU::Engineering::Mathematics and analysis::Simulations; DRNTU::Engineering::Computer science and engineering::Mathematics of computing::Probability and statistics
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/69543

For this thesis, we derive new applications and theoretical results for some multidimensional mean-reverting stochastic processes via series expansion. We use Malliavin calculus and moment cumulant formula to specify the conditions on the stochastic process, under which, we are able to obtain som...