Free CIR processes

DOI10.1142/S0219025722500126zbMath1498.60212arXiv1912.11714MaRDI QIDQ5049882

H. Graf, Henry Port, Georg Schlüchtermann

Publication date: 14 November 2022

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.11714

zbMATH Keywords

stochastic processesstochastic differential equationsvolatilityfree probabilityCIR

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Free probability and free operator algebras (46L54) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Numerical Solution of Free Stochastic Differential Equations

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