scientific article; zbMATH DE number 5520769

MaRDI QIDQ3608295zbMATH OpenFDO

Authors Vladimir Zubchenko

Publication date 28 February 2009

zbMATH Keywords

stochastic differential equationsmall parameterintegral functionallimit behaviorlong-term return

Mathematics Subject Classification ID

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

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• Properties of solutions of stochastic differential equations with random coefficients, non-Lipschitz diffusion, and Poisson measures
• A Stylized Model for Long-Run Index Return Dynamics
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