Stability analysis of Riccati differential equations related to affine diffusion processes
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Publication:847047
DOI10.1016/j.jmaa.2009.11.020zbMath1203.34072OpenAlexW1989259686MaRDI QIDQ847047
Publication date: 12 February 2010
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2009.11.020
Nonlinear ordinary differential equations and systems (34A34) Microeconomic theory (price theory and economic markets) (91B24) Stability of solutions to ordinary differential equations (34D20) Growth and boundedness of solutions to ordinary differential equations (34C11) Qualitative investigation and simulation of ordinary differential equation models (34C60)
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Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions, MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
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