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Weak approximations. A Malliavin calculus approach
Kohatsu, Arturo
Universitat Pompeu Fabra. Departament d'Economia i Empresa
We introduce a variation of the proof for weak approximations that issuitable for studying the densities of stochastic processes which areevaluations of the flow generated by a stochastic differential equation on a random variable that maybe anticipating. Our main assumption is that the process and the initial random variable have to be smooth in the Malliavin sense. Furthermore if the inverse of the Malliavin covariance matrix associated with the process under consideration is sufficiently integrable then approximations fordensities and distributions can also be achieved. We apply theseideas to the case of stochastic differential equations with boundaryconditions and the composition of two diffusions.
15-09-2005
Statistics, Econometrics and Quantitative Methods
stochastic differential equations
boundary conditions
weak approximation
numerical analysis
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