Stability analysis of Riccati differential equations related to affine diffusion processes
DOI10.1016/J.JMAA.2009.11.020zbMATH Open1203.34072OpenAlexW1989259686MaRDI QIDQ847047FDOQ847047
Authors: Kyoung-Kuk Kim 
Publication date: 12 February 2010
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2009.11.020
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
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)
Cites Work
- Title not available (Why is that?)
- Affine processes and applications in finance
- Title not available (Why is that?)
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Differentiable dynamical systems
- Maximal Lyapunov functions and domains of attraction for autonomous nonlinear systems
- On the estimation of asymptotic stability regions: State of the art and new proposals
- Title not available (Why is that?)
- Moment explosions and long-term behavior of affine stochastic volatility models
- Title not available (Why is that?)
- Title not available (Why is that?)
- An analytical method of estimating the domain of attraction for polynomial differential equations
- Stability regions of nonlinear autonomous dynamical systems
- Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)
- Quadratic form of stable sub‐manifold for power systems
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- Moment explosions and stationary distributions in affine diffusion models
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- A note on the Dai-Singleton canonical representation of affine term structure models
- On the existence of solutions of the Riccati differential equation
- Finite escape time for Riccati differential equations
- On the finite escape phenomena for matrix Riccati equations
- On blow-up solutions of nonautonomous quadratic differential systems
- Le théorème de Bézout pour les hypersurfaces
- Sufficiency Conditions for Finite Escape Times in Systems of Quadratic Differential Equations
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)
