Markov-modulated affine processes
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Publication:2080289
DOI10.1016/j.spa.2022.08.009zbMath1498.60310arXiv2106.16240OpenAlexW3178855188MaRDI QIDQ2080289
Publication date: 7 October 2022
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.16240
Markov processesmartingale problemaffine processesanalytical tractabilityMarkov processes with discontinuous coefficientspricing of financial instruments
Continuous-time Markov processes on general state spaces (60J25) Stochastic models in economics (91B70) Transition functions, generators and resolvents (60J35)
Uses Software
Cites Work
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