Stability analysis of Riccati differential equations related to affine diffusion processes
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kim, Kyoung-Kuk | ko |
| dc.date.accessioned | 2013-03-11T01:43:45Z | - |
| dc.date.available | 2013-03-11T01:43:45Z | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.issued | 2010-04 | - |
| dc.identifier.citation | JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, v.364, no.1, pp.18 - 31 | - |
| dc.identifier.issn | 0022-247X | - |
| dc.identifier.uri | http://hdl.handle.net/10203/97952 | - |
| dc.description.abstract | We study a class of generalized Riccati differential equations associated with affine diffusion processes. These diffusions arise in financial econometrics and branching processes. The generalized Riccati equations determine the Fourier transform of the diffusion's transition law. We investigate stable regions of the dynamical systems and analyze their blow-up times. We discuss the implication of applying these results to affine diffusions and, in particular, to option pricing theory. (C) 2009 Elsevier Inc. All rights reserved. | - |
| dc.language | English | - |
| dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
| dc.subject | DYNAMICAL-SYSTEMS | - |
| dc.subject | REGIONS | - |
| dc.subject | FORM | - |
| dc.title | Stability analysis of Riccati differential equations related to affine diffusion processes | - |
| dc.type | Article | - |
| dc.identifier.wosid | 000282354000002 | - |
| dc.identifier.scopusid | 2-s2.0-71249160434 | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 364 | - |
| dc.citation.issue | 1 | - |
| dc.citation.beginningpage | 18 | - |
| dc.citation.endingpage | 31 | - |
| dc.citation.publicationname | JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | - |
| dc.identifier.doi | 10.1016/j.jmaa.2009.11.020 | - |
| dc.contributor.localauthor | Kim, Kyoung-Kuk | - |
| dc.type.journalArticle | Article | - |
| dc.subject.keywordAuthor | Riccati differential equation | - |
| dc.subject.keywordAuthor | Stability boundary | - |
| dc.subject.keywordAuthor | Blow-up time | - |
| dc.subject.keywordAuthor | Implied volatility | - |
| dc.subject.keywordPlus | DYNAMICAL-SYSTEMS | - |
| dc.subject.keywordPlus | REGIONS | - |
| dc.subject.keywordPlus | FORM | - |
- Appears in Collection
- IE-Journal Papers(저널논문)
- Files in This Item
- There are no files associated with this item.
This item is cited by other documents in WoS
| ⊙ Detail Information in WoSⓡ | Click to see |  |
| ⊙ Cited 3 items in WoS | Click to see citing articles in |  |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.