Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions

zbMath1195.60104arXiv0710.1596MaRDI QIDQ5188204

Claudio Albanese, Alexey Kuznetsov

Publication date: 10 March 2010

Full work available at URL: https://arxiv.org/abs/0710.1596

zbMATH Keywords

Liouville transformationscale transformationDoob's \(h\)-transformoption pricing modelsdriftless diffusions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic models in economics (91B70) Diffusion processes (60J60)

Related Items (9)

Exact solution of interacting particle systems related to random matrices ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts ⋮ Stochastic volatility and stochastic leverage ⋮ Some analysis of a stochastic logistic growth model ⋮ Fundamental solutions to Kolmogorov equations via reduction to canonical form ⋮ Generalized uncorrelated SABR models with a high degree of symmetry ⋮ Solvable local and stochastic volatility models: supersymmetric methods in option pricing ⋮ A Hoeffding's inequality for uniformly ergodic diffusion process ⋮ Analytic bond pricing for short rate dynamics evolving on matrix Lie groups

This page was built for publication: Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions