Asymptotic expansions and distribution properties for diffusion processes

• Main Author: She, Qihao
• Other Authors: Nicolas Privault
• Format: Theses and Dissertations
• Language: English
• Published: 2017
• Subjects: DRNTU::Engineering::Mathematics and analysis::Simulations; DRNTU::Engineering::Computer science and engineering::Mathematics of computing::Probability and statistics
• Online Access: http://hdl.handle.net/10356/69543
• Institution: 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...