Convergence of discretized stochastic (interest rate) processes with stochastic drift term
نویسندگان
چکیده
منابع مشابه
Convergence of Discretized Stochastic (Interest Rate) Processes with Stochastic Drift Term
1 SUMMARY For applications in finance, we study the stochastic differential equation dX s = (2βX s +δ s)ds+g(X s)dB s with β a negative real number, g a continuous function vanishing at zero which satisfies a Hölder condition and δ a measurable and adapted stochastic process such that t 0 δ u du < ∞ a.e. for all t ∈ IR + and which may have a random correlation with the process X itself. In this...
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ژورنال
عنوان ژورنال: Applied Stochastic Models and Data Analysis
سال: 1998
ISSN: 8755-0024,1099-0747
DOI: 10.1002/(sici)1099-0747(199803)14:1<77::aid-asm338>3.0.co;2-2