Stability analysis of Riccati differential equations related to affine diffusion processes
From MaRDI portal
(Redirected from Publication:847047)
Qualitative investigation and simulation of ordinary differential equation models (34C60) Nonlinear ordinary differential equations and systems (34A34) Stability of solutions to ordinary differential equations (34D20) Microeconomic theory (price theory and economic markets) (91B24) Growth and boundedness of solutions to ordinary differential equations (34C11)
Recommendations
- On stabilizing properties of solutions of the Riccati difference equation
- On the stability of matrix-valued Riccati diffusions
- scientific article; zbMATH DE number 175898
- Bounded solutions of affine stochastic differential equations and stability
- Stability of solutions to Sturm-Liouville diffusion equations
- Behavior of stabilizing solutions of the Riccati equation
- On stability of random Riccati equations
- Stability of Riccati's equation with random stationary coefficients
- On the stability of a differential Riccati equation for continuous-discrete observers
- Generalized Hyers-Ulam stability of Riccati differential equation
Cites work
- scientific article; zbMATH DE number 3131266 (Why is no real title available?)
- scientific article; zbMATH DE number 3964254 (Why is no real title available?)
- scientific article; zbMATH DE number 3760340 (Why is no real title available?)
- scientific article; zbMATH DE number 3484411 (Why is no real title available?)
- scientific article; zbMATH DE number 940595 (Why is no real title available?)
- A note on the Dai-Singleton canonical representation of affine term structure models
- Affine processes and applications in finance
- An analytical method of estimating the domain of attraction for polynomial differential equations
- Differentiable dynamical systems
- Finite escape time for Riccati differential equations
- Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)
- Le théorème de Bézout pour les hypersurfaces
- Maximal Lyapunov functions and domains of attraction for autonomous nonlinear systems
- Moment explosions and long-term behavior of affine stochastic volatility models
- Moment explosions and stationary distributions in affine diffusion models
- On blow-up solutions of nonautonomous quadratic differential systems
- On the estimation of asymptotic stability regions: State of the art and new proposals
- On the existence of solutions of the Riccati differential equation
- On the finite escape phenomena for matrix Riccati equations
- Quadratic form of stable sub‐manifold for power systems
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- Stability regions of nonlinear autonomous dynamical systems
- Sufficiency Conditions for Finite Escape Times in Systems of Quadratic Differential Equations
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(6)- The Riccati system and a diffusion-type equation
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
- Moment explosions and stationary distributions in affine diffusion models
- Strong stability of quasi-affine transforms of contraction semigroups and the steady-state Riccati equation
- Mean escape time of switched Riccati differential equations
- On one-dimensional Riccati diffusions
This page was built for publication: Stability analysis of Riccati differential equations related to affine diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q847047)
