Invariant measures for multidimensional fractional stochastic volatility models (Q2093310)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Invariant measures for multidimensional fractional stochastic volatility models |
scientific article |
Statements
Invariant measures for multidimensional fractional stochastic volatility models (English)
0 references
7 November 2022
0 references
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.
0 references
Markov chain in random environment
0 references
coupling
0 references
stochastic volatility
0 references
invariant measure
0 references
fractional volatility
0 references
0 references
0 references
0 references
0 references
0 references