Stability analysis of Riccati differential equations related to affine diffusion processes
From MaRDI portal
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)
Related Items
Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions, MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the existence of solutions of the Riccati differential equation
- Finite escape time for Riccati differential equations
- Affine processes and applications in finance
- Maximal Lyapunov functions and domains of attraction for autonomous nonlinear systems
- On blow-up solutions of nonautonomous quadratic differential systems
- Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)
- Le théorème de Bézout pour les hypersurfaces
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
- A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- On the estimation of asymptotic stability regions: State of the art and new proposals
- Stability regions of nonlinear autonomous dynamical systems
- On the finite escape phenomena for matrix Riccati equations
- Sufficiency Conditions for Finite Escape Times in Systems of Quadratic Differential Equations
- An analytical method of estimating the domain of attraction for polynomial differential equations
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Quadratic form of stable sub‐manifold for power systems
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
- Differentiable dynamical systems