The moments of a diffusion process

DOI10.1016/j.spl.2018.02.007zbMath1391.60200OpenAlexW2789771243MaRDI QIDQ1642244

Youngyun Yun

Publication date: 20 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.02.007

zbMATH Keywords

stochastic differential equationdiffusion processhigh-order moments\(n\)th moment

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (2)

Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes ⋮ Bat motion can be described by leap frogging

Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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