Affine processes under parameter uncertainty (Q2296126)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Affine processes under parameter uncertainty |
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Affine processes under parameter uncertainty (English)
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17 February 2020
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affine processes
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Knightian uncertainty
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Riccati equation
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Vasiček model
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Cox-Ingersoll-Ross model
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nonlinear Vasiček/CIR model
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Heston model
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Itô formula
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Kolmogorov equation
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fully nonlinear PDE
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semimartingale
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