Large time and small noise asymptotic results for mean reverting diffusion processes with applications
type: Item
instance of: scholarly article
title: Large time and small noise asymptotic results for mean reverting diffusion processes with applications
zbMATH Open document ID: 0979.60068
DOI: 10.1007/PL00004090
author: Jeffrey Callen
author: Suresh Govindaraj
author: Lin Xu
published in: Economic Theory
publication date: 2002-02-17T00:00:00Z
review text: The authors study certain classes of mean-reverting diffusions with constant or, respectively, state dependent noise terms. Using the theory of large deviations, the large time behaviour as well as the small noise asymptotics for both types of diffusions are investigated. In particular, the paper presents results concerning the speed with which convergence to fundamental value takes place as noise reduces to zero. Interesting examples where the asymptotic results obtained here are of relevance include certain classes of interest rate models that exhibit mean reversion; see, e.g., \textit{O. A. Vasicek} [J. Financial Econ. 5, 177-188 (1977)] and \textit{J. C. Cox}, \textit{J. E. Ingersoll jun.} and \textit{S. A. Ross} [Econometrica 53, 363-384 (1985; Zbl 0576.90006)].
reviewed by: Klaus Schürger
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60F10
zbMATH DE Number: 1525344
zbMATH Keywords: mean-reverting diffusions
zbMATH Keywords: state dependent noise terms
zbMATH Keywords: large time behaviour
zbMATH Keywords: small noise asymptotics
zbMATH Keywords: interest rate models
zbMATH Keywords: mean reversion
MaRDI profile type: Publication
full work available at URL: pl00004090
OpenAlex ID: W2030626472
description: scientific article; zbMATH DE number 1525344