2021년 1학기 세미나 일정공지 (5월 31일, 오후 4시)
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- 21-05-24
존경하옵는 계량경제학회 회원님,
안녕하십니까?
한국계량경제학회 계량분과 2021년 제5차 정기세미나를 알려드리고자 서신드립니다.
다음주 월요일에 서울시립대학교 경제학부의 최승문 교수님께서 다음의 논문을 발표하실 예정입니다.
제목: Closed-Form ApproximateTransition Densities of Multivariate Time-inhomogeneous Jump Diffusions
시간: 5월 31일 (월요일) 오후 4시
장소: Zoom
미팅암호: 431709
회의 ID: 896 4550 3249
줌링크: https://yonsei.zoom.us/j/89645503249?pwd=OUtaWmRtcFhER2lqUGs4bjVicVozUT09
세미나 홈페이지: https://sites.google.com/d/1JtvT65FniXxOOi_XXN7_TGhuSMcTwE4g/p/1DdaOa63Axh2CrYceyY27ZlH1N-nkzEZk/edit
많은 분들께서 세미나에 참가하셔서 새로운 지식을 공유할 수 있는 기회가 되길 바라겠습니다. 참고로 제5차 정기세미나가 이번 학기의 마지막 세미나가 됩니다. 그리고 다음 학기에 새로운 논문을 발표하실 의향이 있으시면 언제든지 알려주십시오. 최대한 많은 분들께서 학회의 순기능을 활용토록 노력하겠습니다.감사합니다.
Abstract: Since Aït-Sahalia (2002)’s seminal work obtaining a closed-form approximate transition probability density function(ATPDF) of a univariate time-homogeneous diffusion process, many researchers employed his idea to extend it to more general cases. Those include ATPDFs univariate time-inhomogeneous diffusions (Egorov, Li, and Xu (2003)),likelihood expansions of multivariate time-homogeneous diffusions (Aït-Sahalia(2008)), ATPDFs of multivariate time-homogeneous jump diffusions (Yu (2007)),likelihood expansions of multivariate time-inhomogeneous diffusions (Choi(2013)), and ATPDFs of multivariate diffusions (Choi (2015)). This article has established a way to obtain an explicit form of an ATPDF for multivariate time-inhomogeneous jump diffusion processes which encompass all of the aforementioned models. Using the Kolmogorov partial differential equation (PDE), we first find PDEs of the coefficients of the ATPDF. These PDEs can be solved and we can get the formulas to retrieve all coefficients of the ATPDF successively when the multivariate time-inhomogeneous jump diffusion is reducible. However, if it is not reducible we can no longer solve the PDEs. In this case, Taylor-expanding the coefficients and matching the same orders in the PDEs yield an ATPDF for the time-homogeneous jump diffusion. But in the case of time-inhomogeneous jump diffusion, the similar indeterminacy problem to Choi (2013) occurs. We prove that all of the generally nonzero indeterminate terms are cancelled out in the TPDF expansion.