On Volatility Induced Stationarity for Stochastic Differential Equations

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On Volatility Induced Stationarity for Stochastic Differential Equations

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Title: On Volatility Induced Stationarity for Stochastic Differential Equations
Author: J.M.P., Albin; Bjarne, Astrup Jensen; Anders, Muszta; Martin, Richter
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.
URI: http://hdl.handle.net/10398/7167
Date: 2006-12-14

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