A0577
Title: Analytical approximations for diffusion processes with asymptotic expansion
Authors: Emanuele Guidotti - University of Lugano (Switzerland) [presenting]
Nakahiro Yoshida - University of Tokyo (Japan)
Abstract: Diffusion processes are a class of models that plays a prominent role in describing the time-continuous evolution of phenomena in the natural and social sciences. However, only in very few cases can the stochastic differential equation driving the process be analytically solved. Based on the perturbation method, asymptotic expansion formulas are presented to generate accurate approximations of the solution of arbitrary diffusions and describe their implementation.
