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Asymptotic Expansions for Perturbed Systems on Wiener Space: Maximum Likelihood Estimators
5 references·0 citing·16 second hop
Asymptotic Expansions for Perturbed Systems on Wiener Space: Maximum Likelihood Estimators (1996)Asymptotic Expansions for Perturbed Syste…Malliavin's calculus in terms of generalized Wiener functionals (2006)Malliavin's calculus in terms…Asymptotic expansion of Bayes estimators for small diffusions (1993)Asymptotic expansion of Bayes…Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe (1992)Asymptotic expansions of maxi…Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels (1987)Analysis of Wiener Functional…Lectures on Stochastic Differential Equations and Malliavin Calculus (1984)Lectures on Stochastic Differ…Analysis of Brownian functionals (1976)Derivatives of Wiener functionals and absolute continuity of induced measures (1980)Stochastic Differential Equations and Diffusion Processes (1983)Conditional expansions and their applications (2003)Pricing Discrete Barrier Options Under Stochastic Volatility (2011)Stochastic calculus of variations and hypoelliptic operators (1978)Malliavin calculus and martingale expansion (2001)Asymptotic expansion formulas for functionals of ε-Markov processes with a mixing property (2004)Propriété LAN pour les diffusions ergodiques avec observations discrètes (2002)On validity of the asymptotic expansion approach in contingent claim analysis (2003)An Asymptotic Expansion with Push-Down of Malliavin Weights (2012)An Asymptotic Expansion Approach to Pricing Financial Contingent Claims (1999)Itô’s stochastic calculus: Its surprising power for applications (2010)Functional Itô calculus and stochastic integral representation of martingales (2013)On bifractional Brownian motion (2005)Stochastic heat equation driven by fractional noise and local time (2008)
this work references cited by second hop

References

  • 1984Lectures on Stochastic Differential Equations and Malliavin Calculus271 cited
  • 1987Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels264 cited
  • 1992Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe123 cited
  • 2006Malliavin's calculus in terms of generalized Wiener functionals38 cited
  • 1993Asymptotic expansion of Bayes estimators for small diffusions32 cited

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