Asymptotic theory of noncentered mixing stochastic differential equations

DOI10.1016/J.SPA.2004.05.004MaRDI QIDQ2485802zbMATH OpenOpenAlexFDO

Authors Jeong-Hoon Kim

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2004.05.004

zbMATH Keywords

strong mixingKolmogorov-Fokker-Planck equationdiffusion limit

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• A diffusion process for the asymptotic limit of a noncentred stochastic system
• scientific article; zbMATH DE number 1127789
• Asymptotic behavior of a system of stochastic equations
• Rates of convergence in a central limit theorem for stochastic processes defined by differential equations with a small parameter
• Correlation free forms for nonlinear stochastic systems

Cites work

• scientific article; zbMATH DE number 3828380 (Why is no real title available?)
• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• scientific article; zbMATH DE number 3941846 (Why is no real title available?)
• scientific article; zbMATH DE number 4060392 (Why is no real title available?)
• scientific article; zbMATH DE number 3602431 (Why is no real title available?)
• scientific article; zbMATH DE number 195091 (Why is no real title available?)
• scientific article; zbMATH DE number 936521 (Why is no real title available?)
• scientific article; zbMATH DE number 3272009 (Why is no real title available?)
• scientific article; zbMATH DE number 3390077 (Why is no real title available?)
• scientific article; zbMATH DE number 3109726 (Why is no real title available?)
• A uniform diffusion limit for random wave propagation with turning point
• An asymptotic limit law with a singularly perturbed drift and a random noise
• Asymptotic theory of mixing stochastic ordinary differential equations
• Harmonic Analysis in Phase Space. (AM-122)
• On the Poisson equation and diffusion approximation. I
• Principle of Averaging for Parabolic and Elliptic Differential Equations and for Markov Processes with Small Diffusion

Cited in

(9)

• scientific article; zbMATH DE number 1971696 (Why is no real title available?)
• A multiscale correction to the Black-Scholes formula
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
• Investment timing under hybrid stochastic and local volatility
• A diffusion process for the asymptotic limit of a noncentred stochastic system
• Option pricing under hybrid stochastic and local volatility
• Portfolio optimization for pension plans under hybrid stochastic and local volatility.
• scientific article; zbMATH DE number 1127789 (Why is no real title available?)
• A delayed stochastic volatility correction to the constant elasticity of variance model

This page was built for publication: Asymptotic theory of noncentered mixing stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2485802)