ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY (Q4608109)
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scientific article; zbMATH DE number 6850640
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY |
scientific article; zbMATH DE number 6850640 |
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ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY (English)
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15 March 2018
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two-dimensional diffusion-type processes
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continuous-time Markov chains
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first exit times
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generalized Laplace transforms
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stochastic volatility
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boundary value problems
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elliptic-type partial differential equations
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mean-reverting and diverting property
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