Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions - researchr publication

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S. P. Preston, Andrew T. A. Wood. Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions. Statistics and Computing, 22(1):205-217, 2012. [doi]

Abstract is missing.

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