Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients-Reference-Cited by-同舟云学术

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Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients

Published:2018-10 Issue:10 Volume:128 Page:3253-3272
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Duc Luu Hoang,Tran Tat Dat^ORCID,Jost Jürgen

Funder

Vietnam Institute for advanced studies in mathematics (VIASM)

Vietnam National Foundation for Science and Technology Development (NAFOSTED)

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference32 articles.

1. Testing continuous time models of the spot interest rate;Ait-Sahalia;Rev. Financ. Stud.,1996

2. Random Dynamical Systems;Arnold,1998

3. Analysis and Geometry of Markov Diffusion Operators;Bakry,2014

4. L. Bertini, L. Passalacqua, Modelling interest rates by correlated multi-factor CIR-like processes, 2008. Available at SSRN 1175702.

5. A theory of the term structure of interest rates;Cox;Econometrica,1985

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1. On recurrent properties of Fisher--Wright's diffusion on (0,1) with mutation;Random Operators and Stochastic Equations;2021-08-08

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