Polynomial diffusions on compact quadric sets

DOI10.1016/j.spa.2016.07.004zbMath1355.60107arXiv1511.03554OpenAlexW2964165297MaRDI QIDQ511135

Sergio Pulido, Martin Larsson

Publication date: 14 February 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.03554

zbMATH Keywords

sums of squaresstochastic invariancepathwise uniquenessbiquadratic formspolynomial diffusionsmooth densities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sums of squares and representations by other particular quadratic forms (11E25) Diffusion processes (60J60)

Related Items (8)

Polynomial jump-diffusions on the unit simplex ⋮ A general framework for time-changed Markov processes and applications ⋮ Polynomial diffusion models for life insurance liabilities ⋮ The Jacobi stochastic volatility model ⋮ Polynomial Jump-Diffusion Models ⋮ Stochastic invariance of closed sets with non-Lipschitz coefficients ⋮ Structural properties of the seed bank and the two island diffusion ⋮ Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball

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