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arXiv · 1609.09674

Asymptotics for time-changed diffusions

Raffaela Capitanelli·Mirko D'Ovidio
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Abstract

We consider time-changed diffusions driven by generators with discontinuous coefficients. The PDE's connections are investigated and in particular some results on the asymptotic analysis according to the behaviour of the coefficients are presented.

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Raffaela Capitanelli, Mirko D'Ovidio. 2016-09-30. Asymptotics for time-changed diffusions. https://arxiv.org/abs/1609.09674

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