Invariant measures for multidimensional fractional stochastic volatility models

Gerencsér, Balázs and Rásonyi, Miklós (2022) Invariant measures for multidimensional fractional stochastic volatility models. STOCHASTICS PARTIAL DIFFERENTIAL EQUATIONS: ANALYSIS AND COMPUTATIONS, Publis. ISSN 2194-0401

Preview

Text
s40072-022-00261-x.pdf
Download (521kB) | Preview

Official URL: https://doi.org/10.1007%2Fs40072-022-00261-x

Abstract

We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to Markov chains in random environments in an efficient way.

Item Type:	Article
Subjects:	Q Science / természettudomány > QA Mathematics / matematika
SWORD Depositor:	MTMT SWORD
Depositing User:	MTMT SWORD
Date Deposited:	29 Sep 2022 05:49
Last Modified:	29 Sep 2022 05:49
URI:	http://real.mtak.hu/id/eprint/150478

Actions (login required)

Edit Item