Polynomial diffusions and applications in finance (Q331360)
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scientific article
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| English | Polynomial diffusions and applications in finance |
scientific article |
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Polynomial diffusions and applications in finance (English)
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27 October 2016
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The article analyzes diffusions with polynomial drift and diffusion matrix of degrees at most 1 and 2 resp., evolving in semi-algebraic sets defined by polynomial inequalities. The main result is well-posedness of the solution and conditions for a non-sticky boundary. Specific instances of the state space given by certain quadric sets, product of the unit cube and non-negative orthant, or the unit simplex, are further analyzed. Applications to finance are also described.
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polynomial diffusions
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stochastic invariance
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boundary attainment
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moment problem
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mathematical finance
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0.8346571922302246
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0.8185679316520691
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0.8071188926696777
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0.7974127531051636
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0.7932074069976807
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