Bounds for the transition density of time-homogeneous diffusion processes
@article{Downes2008BoundsFT, title={Bounds for the transition density of time-homogeneous diffusion processes}, author={Andrew N. Downes}, journal={Statistics \& Probability Letters}, year={2008}, volume={79}, pages={835-841} }
5 Citations
Sampling from Unknown Transition Densities of Diffusion processes.
- Mathematics
- 2020
In this paper, we introduce a new method of sampling from transition densities of diffusion processes including those unknown in closed forms by solving a partial differential equation satisfied by…
Maximum likelihood estimation of diffusions by continuous time Markov chain
- Mathematics, Computer ScienceComput. Stat. Data Anal.
- 2022
Generative Modeling with Denoising Auto-Encoders and Langevin Sampling
- Computer ScienceArXiv
- 2020
It is shown that both DAE and DSM provide estimates of the score of the Gaussian smoothed population density, allowing the machinery of Empirical Processes to apply to the homotopy method of arXiv:1907.05600.
On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case
- Computer ScienceSIAM J. Financial Math.
- 2011
It is found that the delta-gamma strategy produces higher convergence rates than the usual delta strategy.
Endogenous Completeness of Diffusion Driven Equilibrium Markets
- Economics
- 2009
We study the existence of dynamic equilibria with endogenously complete markets in continuous-time, heterogenous agents economies driven by diffusion processes. Our main results show that under…
References
SHOWING 1-10 OF 10 REFERENCES
First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes
- Mathematics
- 2007
We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing…
Comparison theorem and estimates for transition probability densities of diffusion processes
- Mathematics
- 2003
We establish several comparison theorems for the transition probability density pb(x,t,y) of Brownian motion with drift b, and deduce explicit, sharp lower and upper bounds for pb(x,t,y) in terms of…
A representation formula for transition probability densities of diffusions and applications
- Mathematics
- 2004
Some remarks on the Rayleigh process
- MathematicsJournal of Applied Probability
- 1986
The transition p.d.f. for a one-dimensional Rayleigh process in the presence of an absorption condition or a zero-flux condition in the origin is obtained in closed form. The first-passage-time…
Statistics of random processes
- Mathematics
- 1977
1. Essentials of Probability Theory and Mathematical Statistics.- 2. Martingales and Related Processes: Discrete Time.- 3. Martingales and Related Processes: Continuous Time.- 4. The Wiener Process,…
Handbook of Brownian Motion - Facts and Formulae
- Mathematics
- 1996
I: Theory.- I. Stochastic processes in general.- II. Linear diffusions.- III. Stochastic calculus.- IV. Brownian motion.- V. Local time as a Markov process.- VI. Differential systems associated to…
Continuous martingales and Brownian motion
- Mathematics
- 1990
0. Preliminaries.- I. Introduction.- II. Martingales.- III. Markov Processes.- IV. Stochastic Integration.- V. Representation of Martingales.- VI. Local Times.- VII. Generators and Time Reversal.-…
Foundations of Modern Probability. Probability and its Applications
- 1997