Nonlinear diffusions and stable-like processes with coefficients depending on the median or VaR

Applied Mathematics and Optimization

Volumn 68, Issue 1, 2013, Pages 85-98

  Kolokoltsov, Vassili N ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

McKean Vlasov diffusion; Median; Nonlinear Markov processes; Quantile; Stable like processes; Tempered stable processes; Value at risk (VaR)

Indexed keywords

CONTINUOUS FUNCTIONS; MEDIAN; NONLINEAR DIFFUSION; PROBABILITY MEASURES; QUANTILE; STABLE PROCESS; UNDERLYING DISTRIBUTION; VALUE AT RISK;

MARKOV PROCESSES; STABILITY CRITERIA; VALUE ENGINEERING;

DIFFUSION;

EID: 84880197132     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-013-9199-z     Document Type: Article

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