On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models.

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Authors
Publication date
2015
Publication type
Book Chapter
Summary The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma.
Publisher
Springer International Publishing
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