Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations
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Description
Aijt-Sahalia (2002) introduced a method to estimate transitional probability densities of di®usion processes by means of Hermite expansions with coe±cients determined by means of Taylor series. This note describes a numerical procedure to ¯nd these coe±cients based on the calculation of moments. One advantage of this procedure is that it can be used e®ectively when the mathematical operations required to ¯nd closed-form expressions for these coe±cients are otherwise infeasible.
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| ID Code: | 25234 | ||
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| Item Type: | Chapter in Book, Report or Conference volume (Conference contribution) | ||
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| Measurements or Duration: | 15 pages | ||
| Keywords: | Finite Elements, Fokker-planck Equation, Parameter Estimation | ||
| Pure ID: | 33796712 | ||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
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| Copyright Owner: | Consult author(s) regarding copyright matters | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
| Deposited On: | 17 Jun 2009 15:03 | ||
| Last Modified: | 28 Mar 2024 14:23 |
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