Asymptotic expansions and distribution properties for diffusion processes

Asymptotic expansions and distribution properties for diffusion processes

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...

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Bibliographic Details
Main Author: She, Qihao
Other Authors: Nicolas Privault
Format: Thesis
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

Internet

http://hdl.handle.net/10356/69543

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