Asymptotic theory of noncentered mixing stochastic differential equations

DOI10.1016/J.SPA.2004.05.004zbMATH Open1079.60055OpenAlexW1986945245MaRDI QIDQ2485802FDOQ2485802

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

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

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Harmonic Analysis in Phase Space. (AM-122)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotic theory of mixing stochastic ordinary differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Poisson equation and diffusion approximation. I
• Principle of Averaging for Parabolic and Elliptic Differential Equations and for Markov Processes with Small Diffusion
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• An asymptotic limit law with a singularly perturbed drift and a random noise
• A uniform diffusion limit for random wave propagation with turning point

Cited In (9)

• Title not available (Why is that?)
• A multiscale correction to the Black-Scholes formula
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
• A diffusion process for the asymptotic limit of a noncentred stochastic system
• Investment timing under hybrid stochastic and local volatility
• Option pricing under hybrid stochastic and local volatility
• Title not available (Why is that?)
• Portfolio optimization for pension plans under hybrid stochastic and local volatility.
• 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)