The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model

DOI10.1016/J.JDE.2021.09.002zbMath1490.60150arXiv2012.09082OpenAlexW3199275391MaRDI QIDQ2232189

Filippo de Feo

Publication date: 4 October 2021

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.09082

zbMATH Keywords

averaging principlelocal stochastic volatilityKhasminskiinon autonomousslow fast stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations ⋮ Singular perturbations in stochastic optimal control with unbounded data ⋮ A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion ⋮ The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces

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