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On Volatility induced Stationarity for Stochastic Differential Equations

Author

Listed:
  • J.M.PAlbin, J.M.P

    (Department of Finance, Copenhagen Business School)

  • Astrup Jensen, Bjarne

    (Department of Finance, Copenhagen Business School)

  • Muszta, Anders

    (Department of Finance, Copenhagen Business School)

  • Martin, Richter

    (Department of Finance, Copenhagen Business School)

Abstract
No abstract is available for this item.

Suggested Citation

  • J.M.PAlbin, J.M.P & Astrup Jensen, Bjarne & Muszta, Anders & Martin, Richter, 2007. "On Volatility induced Stationarity for Stochastic Differential Equations," Working Papers 2006-10, Copenhagen Business School, Department of Finance.
    • Handle: RePEc:hhs:cbsfin:2006_010
    as

    Download full text from publisher

    File URL: http://openarchive.cbs.dk/cbsweb/handle/10398/7167
    Download Restriction: no
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    Citations

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    Cited by:

    1. F. Klebaner & E. Azmy, 2010. "Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(4), pages 365-372, December.

    More about this item

    Keywords

    na;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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