@techreport{bc258dd0f8ad11db9160000ea68e967b,
title = "On Volatility Induced Stationarity for Stochastic Differential Equations",
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.",
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, CIR model, CKLS model, Heavy-tailed SDE, Hyperbolic SDE, Local martingale, Mean reversion, Numerical methods, Stochastic differential equation, Time changed SDE, Volatility induced stationarity",
author = "Albin, {J. M. P.} and {Astrup Jensen}, Bjarne and Anders Muszta and Martin Richter",
year = "2006",
month = jun,
language = "English",
series = "D-CAF Working Paper",
publisher = "Danish Center for Accounting and Finance (D-CAF)",
number = "10",
address = "Denmark",
type = "WorkingPaper",
institution = "Danish Center for Accounting and Finance (D-CAF)",
}