{"title":"平面(二次)朗之万扩散密度的小时间展开","authors":"J. Franchi","doi":"10.1080/17442508.2022.2113789","DOIUrl":null,"url":null,"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.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"33 1","pages":"696 - 748"},"PeriodicalIF":1.1000,"publicationDate":"2022-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Small-time expansion for the density of a planar (quadratic) Langevin diffusion\",\"authors\":\"J. Franchi\",\"doi\":\"10.1080/17442508.2022.2113789\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":50447,\"journal\":{\"name\":\"Finance and Stochastics\",\"volume\":\"33 1\",\"pages\":\"696 - 748\"},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2022-09-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance and Stochastics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/17442508.2022.2113789\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance and Stochastics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/17442508.2022.2113789","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Small-time expansion for the density of a planar (quadratic) Langevin diffusion
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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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
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Finance and Stochastics encompasses - but is not limited to - the following fields:
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- portfolio selection
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- 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.
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