Generalized volatility-stabilized processes

DOI10.1007/s10436-013-0230-9zbMath1298.91146OpenAlexW2045275170MaRDI QIDQ470721

Radka Picková

Publication date: 13 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-013-0230-9

zbMATH Keywords

stochastic differential equationsarbitragestochastic portfolio theorytime-change

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Portfolio theory (91G10)

Related Items

Robust asymptotic growth in stochastic portfolio theory under long‐only constraints ⋮ A stock market model based on CAPM and market size ⋮ Polynomial processes in stochastic portfolio theory

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