8 citations · 12 across the 2 of their papers we have counts for
2 papers
math.PR2013★ 4 cited
Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]
J. D. Deuschel, P. K. Friz, A. Jacquier +1
In the compagnion paper [Marginal density expansions for diffusions and stochastic volatility, part I] we discussed density expansions for multidimensional diffusions $(X^1,...,X^d…
math.PR2011★ 8 cited
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 are revisited. In particular, we are interested in density expansions of the projection , at time…