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Thumbnail for entry Lecture 2: Equations with unbounded coefficients and H > 1/2

Lecture 2: Equations with unbounded coefficients…

duration 1 hour 41 minutes

Lecture 2: Equations with unbounded coefficients…

Lecture 2: Equations with unbounded coefficients and H > 1/2

Lecture 2: Equations with unbounded coefficients and H > 1/2

1. Cox-Ingersoll-Ross equations with fBm. 2. Equations with unbounded drift. 3. Reflected Ornstein-Uhlenbeck equations.

hurst coefficient
drift
cox-ingersoll-ross
fractional brownian motion
reflected processes
ornstein-uhlenbeck
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