제목 [학술세미나] [학과세미나] 11월 1일(수) 17시 학과세미나 안내
작성일 2017-10-25 16:52:45
내용 세 미 나 안 내
▪제목 : The Delta Expansion for the solutions of the Fokker-Planck equation
▪연사 : 이 윤 동 (서강대학교, 경영학부)
▪일시 : 2017년 11월 01일(수) PM 17:00 – 18:00
▪장소 : 25동 405호
초 록
We consider the topic of finding a closed-form likelihood approximation of diffusion processes, which provide theoretical foundations of modern financial theory.
While the diffusion models are time-continuous, only at discrete time points are the data observed. To obtain the likelihood function of a diffusion model, we need to know the transition densities between two consecutive time points. For general types of diffusion models, the transition density is obtained by solving the Fokker-Planck equation (FPE),
Many researches such as Aït-Sahalia (2002) and Flipović, et.al. (2011), tried to find the closed-form expansion approximating the solution of the FPE. Recently Lee, et.al. (2014) succeeded to find the closed-form expansion, and named "delta expansion".
In this talk we review the delta expansion and the related expansions.
Key words:
Diffusion model, Transition density, Edgeworth expansion, Likelihood estimation, Hermite expansion
파일 세미나 안내_171101_A4.hwp [16KB]