2015년 제8회 통계세미나 개최 안내
통계연구소에서는 다음과 같이 통계 세미나를 개최하오니 많은 참여 바랍니다.
일시: 2015년 10월 28일(수) 오후 5시
장소: 고려대학교 정경관호 205호
연사: 이윤동 교수 (서강대학교)
The Delta Expansion for the solutions
of the Fokker-Planck equation
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 Ait-Sahalia (2002) and Flipovic, 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
고려대학교 통계연구소