Title: Towards coding of the asymptotic expansion formula in YUIMA
Authors: Emanuele Guidotti - University of Neuchatel (Switzerland) [presenting]
Nakahiro Yoshida - University of Tokyo (Japan)
Abstract: Based on the Malliavin-Watanabe theory, a general asymptotic expansion formula designed has been previously presented to facilitate implementation. The aim is to show the current advances in the implementation of Asymptotic Expansion in YUIMA, open source academic project aimed at developing a complete environment for estimation and simulation of Stochastic Differential Equations and other Stochastic Processes via the R package called yuima and its Graphical User Interface yuimaGUI. The implementation of the asymptotic expansion formula would allow the user to efficiently compute expected values of multidimensional processes with virtually any degree of accuracy.