Invariant measures for multidimensional fractional stochastic volatility models (Q2093310)

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Invariant measures for multidimensional fractional stochastic volatility models
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    Invariant measures for multidimensional fractional stochastic volatility models (English)
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    7 November 2022
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    Stochastic volatility models (in the simplest one-dimensional case) are of the form \(dS_t = \nu_1(S_t, V_t)S_t dt + V_t S_t d\overline{W}_t,\) where \(\overline{W}\) is a Brownian motion, \(\nu_1\) is a suitable function and \(S\) describes the (discounted) price of an asset with volatility process \(V.\) The authors prove that under mean-reversion and smoothness conditions on the drift of \(S\) and integrability assumptions on \(V_0, S_0 \) -- the stochastic system \((S_t, V_t)\) converges to an invariant probability, independent of the initialization \(S_0.\) A multi-asset framework is treated and \(B, W\) are allowed to have a stochastic correlation.
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    Markov chain in random environment
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    coupling
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    stochastic volatility
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    invariant measure
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    fractional volatility
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