Weak approximation of averaged diffusion processes

Emmanuel Gobet and Mohammed Miri

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 475-504

Abstract: 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.

Keywords: Asymptotic expansion; Malliavin calculus; Arithmetic and geometric means; Small diffusion process (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.spa.2013.08.007

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