Dynamics of a mean-reverting stochastic volatility equation with regime switching

DOI10.1016/J.CNSNS.2019.105110zbMath1458.91214arXiv1903.02697OpenAlexW2922296843WikidataQ126801018 ScholiaQ126801018MaRDI QIDQ2207789

Kai Wang, Yanling Zhu, Yong Ren

Publication date: 23 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.02697

zbMATH Keywords

stationary distributionpositive recurrenceglobal positive solutionasymptotic boundedness in \(p\) th momentmean-reverting stochastic volatility equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Stabilization of highly nonlinear hybrid neutral stochastic differential equations with multiple time-varying delays and different structures ⋮ The threshold of stochastic tumor-immune model with regime switching ⋮ Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications ⋮ A note on the general stabilization of discrete feedback control for non-autonomous hybrid neutral stochastic systems with a delay ⋮ Discrete feedback control for highly nonlinear neutral stochastic delay differential equations with Markovian switching

Cites Work

• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• A Theory of the Term Structure of Interest Rates
• Asymptotic Properties of Hybrid Diffusion Systems
• On Strong Feller, Recurrence, and Weak Stabilization of Regime-Switching Diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic Differential Equations with Markovian Switching
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