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| HAL : hal-00618470, version 1 |
| Fiche détaillée |  Récupérer au format |
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| Weak approximation of averaged diffusion processes |
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| Emmanuel Gobet 1Mohammed Miri 2 |
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| (01/09/2011) |
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| We derive expansion results in order to approximate the law of the average of the marginal of diffusion processes. The average is computed w.r.t. a general parameter that is involved in the diffusion dynamics. Our approximation is based on the use of proxys with normal distribution or log-normal distribution, so that the expansion terms are explicit. We provide non asymptotic error bounds, which justifies the expansion accuracy as the time or the diffusion coefficients are small in a suitable sense. |
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| 1 : | Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP) |
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Polytechnique - X – CNRS : UMR7641 |
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| 2 : | Pricing Partners |
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Pricing Partners |
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| Domaine | : | Mathématiques/Probabilités |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00618470, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00618470 | |
| oai:hal.archives-ouvertes.fr:hal-00618470 | |
| Contributeur : Emmanuel Gobet | |
| Soumis le : Jeudi 1 Septembre 2011, 22:03:40 | |
| Dernière modification le : Vendredi 2 Septembre 2011, 11:06:33 | |
