A Closed-Form Transition Density Expansion for Elliptic and Hypo-Elliptic SDEs

Join a one-hour seminar presentation where Professor Alexandros Beskos from University College London introduces a groundbreaking closed-form expansion for transition density in elliptic and hypo-elliptic multivariate Stochastic Differential Equations (SDEs). Discover a novel methodology that provides tractable approximations of true transition density, easily evaluated through symbolic calculations software. Learn about analytical results regarding residual size in closed-form expansion for fixed Δ∈(0,1), with error bounds validating increased precision when including additional terms. Explore the first-known closed-form expansion for hypo-elliptic SDEs, featuring a uniform treatment approach for both elliptic and hypo-elliptic cases. Examine numerical applications demonstrating the method's effectiveness through parameter inference for SDE models, showcasing practical applications beyond stated theoretical conditions. Co-authored with Mr Yuga Iguchi, this mathematical sciences presentation is part of the Stochastic systems for anomalous diffusion (SSD) event series at the Isaac Newton Institute.