Robustness of the Hobson-Rogers model with respect to the offset function

MaRDI QIDQ3509354zbMATH OpenFDO

Authors Vera Blaka Hallulli, Tiziano Vargiolu

Publication date 1 July 2008

zbMATH Keywords

Hobson-Rogers modelinvariant measuresrobustness

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

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Cited in

(3)

• Finite-dimensional representations for controlled diffusions with delay
• Robustness for path-dependent volatility models
• Path dependent volatility

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