Pré-Publication, Document De Travail Année : 2025

Nonparametric estimation of an integral transform of the transition density for diffusion processes

Résumé

We consider the observation of $N$ independent diffusion processes on a time interval $[0, 2T]$. Given a fixed time $t$, we construct a nonparametric estimator of $F_t (x) := \int_{-\infty}^{\infty} g(y) p_{t} (x, y) \, dy$, an integral transform of the transition density $p_t(x, y)$ with a known, real map $g$. The estimator is defined as the minimizer of a least-squares regression contrast over a finite-dimensional subspace of $\mathbb{L}^2(A, dx)$. We prove risk bounds in reference norms under various assumptions on $g$ and the estimation interval and study the bias- and variance terms to assess the rate of convergence in the standard $\mathbb{L}^2(A)$-norm. For this, we assume $F_t$ lies in a given regularity space, specifically the Sobolev(-Hermite) ellipsoids. We propose a model selection procedure and show that the corresponding least-square estimator achieves the bias-variance compromise. Estimating $F_t$ has applications in financial mathematics, for instance in option pricing. We conclude by illustrating the performance of our estimator for various diffusion processes and candidates for $g$, and finally by applying it to an option pricing scenario.

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Dates et versions

hal-05024650 , version 1 (08-04-2025)

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  • HAL Id : hal-05024650 , version 1

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Felix Schürzinger. Nonparametric estimation of an integral transform of the transition density for diffusion processes. 2025. ⟨hal-05024650⟩
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