Asymptotic expansions and distribution properties for diffusion processes

• 主要作者: She, Qihao
• 其他作者: Nicolas Privault
• 格式: Theses and Dissertations
• 語言: English
• 出版: 2017
• 主題: DRNTU::Engineering::Mathematics and analysis::Simulations; DRNTU::Engineering::Computer science and engineering::Mathematics of computing::Probability and statistics
• 在線閱讀: http://hdl.handle.net/10356/69543
• 機構: Nanyang Technological University

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...