Itô vs Stratonovich in the presence of absorbing states-Reference-Cited by-同舟云学术

Itô vs Stratonovich in the presence of absorbing states

Published:2019-12-01 Issue:12 Volume:60 Page:123301
ISSN:0022-2488
Container-title:Journal of Mathematical Physics
language:en
Short-container-title:Journal of Mathematical Physics

Author:

Correales Álvaro¹^ORCID,Escudero Carlos²^ORCID

Affiliation:

1. Departamento de Matemáticas, Universidad Autónoma de Madrid, E-28049 Madrid, Spain and Department of Mathematics, Stockholm University, SE-10691 Stockholm, Sweden

2. Departamento de Matemáticas Fundamentales, Universidad Nacional de Educación a Distancia, E-28040 Madrid, Spain

Funder

Ministerio de Economía, Industria y Competitividad, Gobierno de España

Ministerio de Ciencia, Innovación y Universidades

Publisher

AIP Publishing

Subject

Mathematical Physics,Statistical and Nonlinear Physics

Link

http://aip.scitation.org/doi/pdf/10.1063/1.5081791

Reference24 articles.

1. Volatility skews and extensions of the Libor market model

2. Moment explosions in stochastic volatility models

3. Langevin Equations for Reaction-Diffusion Processes

4. Handbook of Brownian Motion - Facts and Formulae

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