Time-inhomogeneous affine processes

Stochastic Processes and their Applications

Volumn 115, Issue 4, 2005, Pages 639-659

  Filipović, Damir ^a  

^a UNIVERSITY OF MUNICH   (Germany)

Author keywords

Affine processes; Time inhomogeneity

Indexed keywords

COMPUTATIONAL METHODS; CONVERGENCE OF NUMERICAL METHODS; FUNCTIONS; MATHEMATICAL MODELS; MATRIX ALGEBRA; RICCATI EQUATIONS; THEOREM PROVING;

AFFINE PROCESSES; FELLER PROPERTY; MODEL CALIBRATION; TIME INHOMOGENEITY;

MARKOV PROCESSES;

EID: 14844348230     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.11.006     Document Type: Article

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