High order Itô-Taylor approximations to heat kernels

Kyoto Journal of Mathematics

Volumn 37, Issue 1, 1997, Pages 129-150

  Kohatsu Higa, Arturo ^a  

^a DEPARTMENT OF ECONOMICS AND BUSINESS   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031482302     PISSN: 0023608X     EISSN: None     Source Type: Journal    
DOI: 10.1215/kjm/1250518401     Document Type: Article

References (9)

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4. Y. Hu and S. Watanabe, Donsker delta functions and approximations of heat kernels by the time discretization method, preprint (1995).
5. S. Kusuoka and D. Stroock, Applications of the Malliavin calculus II, J. Fac. Sci. Univ. Tokyo Sect IA Math., 32 (1985), 1-76.
6. P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Applications of Mathematics 23, Springer, New York, 1992.
7. P. E. Kloeden, E. Platen and N. Hoffmann, Extrapolation methods for the weak approximation of Itô-difussions, SIAM J. Numer. Anal., 32 (1995), 1519-1534.
8. R. Léandre, Minoration en temps petit de la densité d'une diffusion dégénérée. Journal of Functional Analysis, 74 (1987), 399-414.
9. D. Nualart, The Malliavin Calculus and Related Topics, Springer Verlag, 1995.