Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes

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.