Affine processes under parameter uncertainty (Q2296126)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7168381
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Affine processes under parameter uncertainty |
scientific article; zbMATH DE number 7168381 |
Statements
Affine processes under parameter uncertainty (English)
0 references
17 February 2020
0 references
affine processes
0 references
Knightian uncertainty
0 references
Riccati equation
0 references
Vasiček model
0 references
Cox-Ingersoll-Ross model
0 references
nonlinear Vasiček/CIR model
0 references
Heston model
0 references
Itô formula
0 references
Kolmogorov equation
0 references
fully nonlinear PDE
0 references
semimartingale
0 references
0 references
0 references
0 references
0 references
0.7593626379966736
0 references
0.7562165260314941
0 references
0.7389711141586304
0 references
0.7385197877883911
0 references
0.7362053394317627
0 references
