Stochastic PDEs for large portfolios with general mean-reverting volatility processes

zbMatharXiv:1906.05898MaRDI QIDQ6504185

Nikolaos Kolliopoulos, Benjamin M. Hambly

Publication date: 1 January 1

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)

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