Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions (2011)

First Author: Preston S
Attributed to:  Statistical inference for some complex high-dimensional problems funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1007/s11222-010-9218-8

Publication URI: http://dx.doi.org/10.1007/s11222-010-9218-8

Type: Journal Article/Review

Parent Publication: Statistics and Computing

Issue: 1