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Malliavin calculus, geometric mixing, and expansion of diffusion functionals · Study

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ArticleMalliavin calculus, geometric mixing, and expansion of diffusion functionals

Shigeo Kusuoka2000

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Articlebronze2000

Malliavin calculus, geometric mixing, and expansion of diffusion functionals

Shigeo Kusuoka · Nakahiro Yoshida

54 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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References

1985Applications of the Malliavin calculus. II 1991Malliavin calculus for processes with jumps 1997Malliavin calculus and asymptotic expansion for martingales

Cited by

2012Estimating functions for diffusion-type processes 2004Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabe 2007An Exponential Continuous-Time GARCH Process 2004Asymptotic expansion formulas for functionals of ε-Markov processes with a mixing property 2001Malliavin calculus and martingale expansion 2004Partial mixing and Edgeworth expansion 2010Estimation for misspecified ergodic diffusion processes from discrete observations 2012Martingale expansion in mixed normal limit

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Year2000

Typearticle

Published2000-04-01

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations54

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s004400070001

openalex_workW2012124315

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