Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
Density expansions for hypoelliptic diffusions ( X 1 ,âŚ, X d ) are revisited. We are particularly interested in density expansions of the projection at time T > 0 with l ⤠d . Global conditions are found that replace the wellâknown ânotâinâcutâlocusâ condition known from heat kernel asymptotics. Our âŚ