B0347
Title: Asymptotic expansion formulas for diffusion processes based on the perturbation method
Authors: Emanuele Guidotti - University of Neuchatel (Switzerland) [presenting]
Nakahiro Yoshida - University of Tokyo (Japan)
Abstract: Asymptotic expansion formulas for diffusion processes have been implemented in YUIMA. However, the asymptotic expansion scheme must be run whenever the initial conditions change because the general ODE system cannot be solved symbolically. The possibility of reducing the general ODE system is discussed to a linear system for a particular choice of perturbation. In this case, the system can be solved symbolically so that all the coefficients and the final formulas depend symbolically on the initial conditions. Such implementation would provide accurate high-order approximations for the transition densities and moments of arbitrary diffusions that are fully symbolic.
