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  • Search: subject:"stochastic integration by parts formula"
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Year of publication
Subject
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Malliavin Calculus 1 Taylor expansion of a density 1 exponential estimates of the tail probabilities 1 large deviations 1 parabolic SPDE 1 stochastic integration by parts formula 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Carreras, D. Márquez 1 Kohatsu, Arturo 1 Solé, M. Sanz 1
Institution
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Department of Economics and Business, Universitat Pompeu Fabra 1
Published in...
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Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1
Source
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RePEc 1
Showing 1 - 1 of 1
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Asymptotic behaviour of the density in a parabolic SPDE
Kohatsu, Arturo; Carreras, D. Márquez; Solé, M. Sanz - Department of Economics and Business, Universitat … - 1999
Consider the density of the solution $X(t,x)$ of a stochastic heat equation with small noise at a fixed $t\in [0,T]$, $x \in [0,1]$. In the paper we study the asymptotics of this density as the noise is vanishing. A kind of Taylor expansion in powers of the noise parameter is obtained. The...
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