Large time and small noise asymptotic results for mean reverting diffusion processes with applications

DOI10.1007/PL00004090zbMath0979.60068OpenAlexW2030626472MaRDI QIDQ1584690

Suresh Govindaraj, Jeffrey Callen, Lin Xu

Publication date: 17 February 2002

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00004090

zbMATH Keywords

mean reversionlarge time behaviourinterest rate modelssmall noise asymptoticsmean-reverting diffusionsstate dependent noise terms

Mathematics Subject Classification ID

Diffusion processes (60J60) Large deviations (60F10)

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