Polynomial diffusions and applications in finance
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Publication:331360
DOI10.1007/s00780-016-0304-4zbMath1386.60237arXiv1404.0989OpenAlexW3124361385MaRDI QIDQ331360
Damir Filipović, Martin Larsson
Publication date: 27 October 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.0989
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Actuarial science and mathematical finance (91G99)
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