Iguchi, Yuga;
Beskos, Alexandros;
(2026)
A closed-form transition density expansion for
elliptic and hypo-elliptic SDEs.
Bernoulli
(In press).
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| Type: | Article |
|---|---|
| Title: | A closed-form transition density expansion for elliptic and hypo-elliptic SDEs |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | https://www.bernoullisociety.org/publications/40-b... |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. It has been made open access under the Creative Commons (CC BY) licence under the terms of the UCL Intellectual Property (IP) Policy and UCL Publications Policy. |
| Keywords: | CLT; data augmentation; hypo-elliptic diffusion; small time density expansion; stochastic differential equation |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10219496 |
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