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Weak approximation of averaged diffusion processes

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17 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)475-504
Number of pages30
JournalStochastic Processes and their Applications
Volume124
Issue number1
DOIs
Publication statusPublished - 1 Jan 2014

Keywords

  • Arithmetic and geometric means
  • Asymptotic expansion
  • Malliavin calculus
  • Small diffusion process

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