Expansion of Perturbed Random Variables Based on Generalized Wiener Functionals
AbstractBy means of the Malliavin calculus, we present an expansion formula for the distribution of a random variableFhaving a stochastic expansionF=F0+R, whereF0is an easily tractable random variable andRis the remainder term. From this result, we derive an expansion of the distribution of the scale mixturesZof a normal random variableZby a scale random variables. Applications to shrinkage estimators of the Stein type are mentioned
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 59 (1996)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CIRJE F-Series CIRJE-F-654, CIRJE, Faculty of Economics, University of Tokyo.
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