Polynomial diffusions and applications in finance

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

zbMATH Keywords

moment problemstochastic invariancemathematical financeboundary attainmentpolynomial diffusions

Mathematics Subject Classification ID

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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