no code implementations • 13 Mar 2020 • Fan Jiang, Xin Zang, Jingping Yang
In this paper, enlightened by the asymptotic expansion methodology developed by Li(2013b) and Li and Chen (2016), we propose a Taylor-type approximation for the transition densities of the stochastic differential equations (SDEs) driven by the gamma processes, a special type of Levy processes.
no code implementations • 7 Jul 2019 • Tianyao Chen, Xue Cheng, Jingping Yang
In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are represented by a triplet of processes, $(X, Y, T)$, where $X$ and $Y$ are independent Brownian motions.
