On Volatility Induced Stationarity for Stochastic Differential Equations

J. M. P. Albin, Bjarne Astrup Jensen, Anders Muszta, Martin Richter

Research output: Working paperResearch

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Abstract

This article deals with stochastic differential equations with volatility induced stationarity. We study of theoretical properties of such equations, as well as numerical aspects, together with a detailed study of three examples.
Original languageEnglish
Place of PublicationFrederiksberg
PublisherDanish Center for Accounting and Finance (D-CAF)
Number of pages34
Publication statusPublished - Jun 2006
SeriesD-CAF Working Paper
Number10

Keywords

  • CIR model
  • CKLS model
  • Heavy-tailed SDE
  • Hyperbolic SDE
  • Local martingale
  • Mean reversion
  • Numerical methods
  • Stochastic differential equation
  • Time changed SDE
  • Volatility induced stationarity

Cite this

Albin, J. M. P., Astrup Jensen, B., Muszta, A., & Richter, M. (2006). On Volatility Induced Stationarity for Stochastic Differential Equations. Danish Center for Accounting and Finance (D-CAF). D-CAF Working Paper, No. 10