Asymptotic theory of noncentered mixing stochastic differential equations-Reference-Cited by-同舟云学术

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Asymptotic theory of noncentered mixing stochastic differential equations

Published:2004-11 Issue:1 Volume:114 Page:161-174
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Kim Jeong-Hoon

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference20 articles.

1. Probability and Measure;Billingsley,1986

2. Two limit theorems for random equations;Cogburn;Indiana Univ. Math. J,1973

3. Harmonic Analysis in Phase Space;Folland,1989

4. Diffuse Waves in Complex Media;Fouque,1999

5. Markov Processes and Differential Equations: Asymptotic Problems;Freidlin,1996

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1. A delayed stochastic volatility correction to the constant elasticity of variance model;Acta Mathematicae Applicatae Sinica, English Series;2016-07

2. Portfolio optimization for pension plans under hybrid stochastic and local volatility;Applications of Mathematics;2015-03-13

3. Investment timing under hybrid stochastic and local volatility;Chaos, Solitons & Fractals;2014-10

4. A multiscale correction to the Black-Scholes formula;Applied Stochastic Models in Business and Industry;2014-01-19

5. Option pricing under hybrid stochastic and local volatility;Quantitative Finance;2013-08

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