Polynomial diffusions and applications in finance (Q331360): Difference between revisions

The article analyzes diffusions with polynomial drift and diffusion matrix of degrees at most 1 and 2 resp., evolving in semi-algebraic sets defined by polynomial inequalities. The main result is well-posedness of the solution and conditions for a non-sticky boundary. Specific instances of the state space given by certain quadric sets, product of the unit cube and non-negative orthant, or the unit simplex, are further analyzed. Applications to finance are also described.

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zbMATH Keywords

polynomial diffusions

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stochastic invariance

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boundary attainment

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moment problem

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mathematical finance

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MaRDI profile type

MaRDI publication profile

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cites work

On the relation between the multidimensional moment problem and the one-dimensional moment problem.

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Q5508534

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Q5186515

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A remark on the multidimensional moment problem

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Q4210476

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On the hedging of options on exploding exchange rates

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On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations

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Mean stochastic comparison of diffusions

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Polynomial processes and their applications to mathematical finance

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A Note on the Theory of Moment Generating Functions

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Invariance of stochastic control systems with deterministic arguments

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Stochastic viability of convex sets

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A general version of the fundamental theorem of asset pricing

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An interest rate model with upper and lower bounds

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Q4423053

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Q3138332

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A class of degenerate diffusion processes occurring in population genetics

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Q5711199

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Density approximations for multivariate affine jump-diffusion processes

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On the relation between linearity‐generating processes and linear‐rational models

0 references

Invariant manifolds with boundary for jump-diffusions

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The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

0 references

A chaotic representation property of the multidimensional Dunkl processes

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A survey and some generalizations of Bessel processes

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Multivariate Jacobi process with application to smooth transitions

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Q5722600

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Matrix Analysis

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Q3959169

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Multivariate distributions and the moment problem

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DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE

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A comparison of biased simulation schemes for stochastic volatility models

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Q4142431

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On strong solutions for positive definite jump diffusions

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The \(K\)-moment problem for compact semi-algebraic sets

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Affine Diffusions with Non-Canonical State Space

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Krein condition in probabilistic moment problems

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Q4820394

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Q5514887

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Identifiers

zbMATH Open document ID

1386.60237

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DOI

10.1007/s00780-016-0304-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:331360

@@ Property / review text @@
+The article analyzes diffusions with polynomial drift and diffusion matrix of degrees at most 1 and 2 resp., evolving in semi-algebraic sets defined by polynomial inequalities. The main result is well-posedness of the solution and conditions for a non-sticky boundary. Specific instances of the state space given by certain quadric sets, product of the unit cube and non-negative orthant, or the unit simplex, are further analyzed. Applications to finance are also described.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
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@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
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+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
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@@ Property / Mathematics Subject Classification ID: 60J60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
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@@ Property / Mathematics Subject Classification ID: 91G99 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6644327
@@ Property / zbMATH DE Number: 6644327 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+polynomial diffusions
@@ Property / zbMATH Keywords: polynomial diffusions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic invariance
@@ Property / zbMATH Keywords: stochastic invariance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+boundary attainment
@@ Property / zbMATH Keywords: boundary attainment / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+moment problem
@@ Property / zbMATH Keywords: moment problem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mathematical finance
@@ Property / zbMATH Keywords: mathematical finance / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W3124361385
@@ Property / OpenAlex ID: W3124361385 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.0989
@@ Property / arXiv ID: 1404.0989 / rank @@
+Normal rank
@@ Property / cites work @@
+On the relation between the multidimensional moment problem and the one-dimensional moment problem.
+Normal rank
@@ Property / cites work @@
+Q5508534
@@ Property / cites work: Q5508534 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5186515
@@ Property / cites work: Q5186515 / rank @@
+Normal rank
@@ Property / cites work @@
+A remark on the multidimensional moment problem
@@ Property / cites work: A remark on the multidimensional moment problem / rank @@
+Normal rank
@@ Property / cites work @@
+Q4210476
@@ Property / cites work: Q4210476 / rank @@
+Normal rank
@@ Property / cites work @@
+On the hedging of options on exploding exchange rates
+Normal rank
@@ Property / cites work @@
+On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Mean stochastic comparison of diffusions
@@ Property / cites work: Mean stochastic comparison of diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Polynomial processes and their applications to mathematical finance
+Normal rank
@@ Property / cites work @@
+A Note on the Theory of Moment Generating Functions
+Normal rank
@@ Property / cites work @@
+Invariance of stochastic control systems with deterministic arguments
+Normal rank
@@ Property / cites work @@
+Stochastic viability of convex sets
@@ Property / cites work: Stochastic viability of convex sets / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+An interest rate model with upper and lower bounds
+Normal rank
@@ Property / cites work @@
+Q4423053
@@ Property / cites work: Q4423053 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3138332
@@ Property / cites work: Q3138332 / rank @@
+Normal rank
@@ Property / cites work @@
+A class of degenerate diffusion processes occurring in population genetics
+Normal rank
@@ Property / cites work @@
+Q5711199
@@ Property / cites work: Q5711199 / rank @@
+Normal rank
@@ Property / cites work @@
+Density approximations for multivariate affine jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+On the relation between linearity‐generating processes and linear‐rational models
+Normal rank
@@ Property / cites work @@
+Invariant manifolds with boundary for jump-diffusions
+Normal rank
@@ Property / cites work @@
+The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
+Normal rank
@@ Property / cites work @@
+A chaotic representation property of the multidimensional Dunkl processes
+Normal rank
@@ Property / cites work @@
+A survey and some generalizations of Bessel processes
+Normal rank
@@ Property / cites work @@
+Multivariate Jacobi process with application to smooth transitions
+Normal rank
@@ Property / cites work @@
+Q5722600
@@ Property / cites work: Q5722600 / rank @@
+Normal rank
@@ Property / cites work @@
+Matrix Analysis
@@ Property / cites work: Matrix Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q3959169
@@ Property / cites work: Q3959169 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate distributions and the moment problem
@@ Property / cites work: Multivariate distributions and the moment problem / rank @@
+Normal rank
@@ Property / cites work @@
+DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q4142431
@@ Property / cites work: Q4142431 / rank @@
+Normal rank
@@ Property / cites work @@
+On strong solutions for positive definite jump diffusions
+Normal rank
@@ Property / cites work @@
+Q4349224
@@ Property / cites work: Q4349224 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5849795
@@ Property / cites work: Q5849795 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4328337
@@ Property / cites work: Q4328337 / rank @@
+Normal rank
@@ Property / cites work @@
+The \(K\)-moment problem for compact semi-algebraic sets
+Normal rank
@@ Property / cites work @@
+Affine Diffusions with Non-Canonical State Space
@@ Property / cites work: Affine Diffusions with Non-Canonical State Space / rank @@
+Normal rank
@@ Property / cites work @@
+Krein condition in probabilistic moment problems
@@ Property / cites work: Krein condition in probabilistic moment problems / rank @@
+Normal rank
@@ Property / cites work @@
+Q4820394
@@ Property / cites work: Q4820394 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5514887
@@ Property / cites work: Q5514887 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:331360