Generalized volatility-stabilized processes

DOI10.1007/S10436-013-0230-9MaRDI QIDQ470721zbMATH OpenOpenAlexFDO

Authors Radka Picková

Publication date 13 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-013-0230-9

zbMATH Keywords

stochastic differential equationstime-changestochastic portfolio theoryarbitrage

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• Large volatility-stabilized markets
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• Stochastic Volatility for Lévy Processes

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
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• scientific article; zbMATH DE number 1746020 (Why is no real title available?)
• Analysis of market weights under volatility-stabilized market models
• Degenerate stochastic differential equations with Hölder continuous coefficients and super-Markov chains
• On Itô’s Stochastic Integral Equations
• On the Behaviour of Certain Bessel Functional. An Application to a Class of Stochastic Differential Equations
• On the uniqueness of solutions of stochastic differential equations
• Relative arbitrage in volatility-stabilized markets
• Short-term relative arbitrage in volatility-stabilized markets
• Stochastic Portfolio Theory: an Overview

Cited in

(7)

• Polynomial processes in stochastic portfolio theory
• Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
• A generalised stochastic volatility in mean VAR
• A stock market model based on CAPM and market size
• Open markets and hybrid Jacobi processes
• Processes with volatility‐induced stationarity: an application for interest rates
• Large volatility-stabilized markets

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