The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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A Note on Series Approximation of Transition Density of Diffusion Processes

확산모형 전이확률밀도의 급수근사법과 그 계수

  • Received : 20100200
  • Accepted : 20100300
  • Published : 2010.04.30
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Abstract

Modelling financial phenomena with diffusion processes is frequently used technique. This study reviews the earlier researches on the approximation problem of transition densities of diffusion processes, which takes important roles in estimating diffusion processes, and consider the method to obtain the coefficients of series efficiently, in series approximation method of transition densities. We developed a new efficient algorithm to compute the coefficients which are represented by repeated Dynkin operator on Hermite polynomial.

확산모형은 최근 금융현상의 연구 등에 자주 사용되는 모형이다. 본 연구에서는 확산모형의 추정에서 중요한 역할을 하는 전이확률밀도를 구하는 방법과 이를 급수전개 방식으로 근사하는 기존 연구들을 검토하여 보고, 급수전개법에서의 계수를 손쉽게 구할 수 있는 방법을 고려하게 된다. 급수전개법 계산과정에서 중요한 허밋다항식에 딘킨연산자를 반복적으로 적용하는 과정을 손쉽게 계산할 수 있는 알고리즘을 제안한다.

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