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Statistical mixing and aggregation in Feller diffusion
New applications of statistical mechanics Stochastic processes Rigorous results in statistical mechanics
2010/11/2
We consider Feller mean-reverting square-root diffusion, which has been applied to model a wide variety of processes with linearly state-dependent diffusion,such as stochastic volatility and interest ...
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Multivariate Feller conditions structure models care
2010/12/17
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate ...