主讲人：Prof. Anna L Mazzucato （Penn State University)

时  间：6月8日（周三）16：30-17：30

地  点：数学科学学院 101教室

摘  要：I will present an elementary method to approximate the pdf associated with general classes of continuous-time diffusion processes in the framework of forward Kolmogorov equations. This approximation is accurate to any order in the short-time limit and can be bootstrapped to large times. Numerical tests show this method works well for degenerate equations, such as those arising in pricing of contingent claims. (Received March 07, 2011)