Asymptotic Analysis of Ruin in the Constant Elasticity of Variance Model

DOI10.1137/S0040585X97984814zbMath1223.91041WikidataQ57712755 ScholiaQ57712755MaRDI QIDQ5198644

Fima C. Klebaner, Robert Sh. Liptser

Publication date: 9 August 2011

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

diffusion processlarge deviationsCEV modelmost likely path to ruin

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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