A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
基于 Itô–Taylor 展开的多元扩散新型 delta 展开
In this paper we develop a new delta expansion approach to deriving analytical approximation to the transition densities of multivariate diffusions using the Itô-Taylor expansion of the conditional expectation of the Dirac delta function. Our approach yields an explicit recursive formulas for the expansion coefficients and is universally applicable for a wide spectrum of models, particularly the time-inhomogeneous non-affine irreducible multivariate diffusions. We show that…