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.