Erratum: Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models

DOI10.1137/19M1260980zbMath1471.91497arXiv1905.04397WikidataQ127202404 ScholiaQ127202404MaRDI QIDQ4971983

Nikolaos Kolliopoulos, Benjamin M. Hambly

Publication date: 22 November 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.04397

zbMATH Keywords

stochastic volatilityMalliavin calculusSPDEdistance to defaultlarge portfolioCIR volatility

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (2)

Well-posedness of a system of SDEs driven by jump random measures ⋮ Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

Cites Work

• A \(W_ 2^ n\)-theory of the Dirichlet problem for SPDEs in general smooth domains
• Maximum principle for quasilinear SPDE's on a bounded domain without regularity assumptions
• Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models
• Stochastic evolution equations
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