Parametrix Approximation of Diffusion Transition Densities.

Francesco Corielli Paolo Foschi Andrea Pascucci

Published in: SIAM J. Financial Math. (2010)

Keyphrases

diffusion process
closed form
approximation algorithms
error bounds
relative error
probability density function
anisotropic diffusion
approximation methods
diffusion model
database
real time
data sets
neural network
genetic algorithm
case study
probability distribution