Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations

J. D. Deuschel, P. K. Friz, A. Jacquier +1

Density expansions for hypoelliptic diffusions $(X^1,...,X^d)$ are revisited. In particular, we are interested in density expansions of the projection $(X_T^1,...,X_T^l)$, at time…