ASYMPTOTIC EXPANSIONS OF EVOLUTION EQUATIONS WITH FAST VOLATILITY

Keyphrases

• Asymptotic Expansion 100%
• Volatility 100%
• Evolution Equations 100%
• Kolmogorov Forward Equation 100%
• Mean Reversion 100%
• Zakai Equation 100%
• Two Dimensional 50%
• First-order 50%
• PDE 50%
• Small Parameter 50%
• Stochastic Volatility 50%
• Mean-reverting 50%
• Numerical Scheme 50%
• Multifractal Volatility 50%
• Diffusion Process 50%
• Matched Asymptotic Expansions 50%
• Backward Equation 50%
• Volatility Components 50%
• Novel numerical 50%
• Interest Rate Derivatives 50%
• Credit Derivatives 50%
• SPDE 50%
• Parabolic PDEs 50%
• Approximating Sequence 50%
• Divergence Form 50%
• Weak Convergence Order 50%
• Stochastic PDEs 50%
• Ergodic Distribution 50%
• Parameter Regime 50%
• Parabolic Stochastic PDE 50%

Mathematics

• Partial Differential Equation 100%
• Asymptotic Expansion 100%
• Evolution Equation 100%
• Stochastics 50%
• Stochastic Volatility 50%
• Parabolic 50%
• Forward Equation 50%
• Numerical Scheme 25%
• Marginals 25%
• Diffusion Process 25%
• Backward Equation 25%
• Weak Convergence 25%
• Convergence Order 25%
• Divergence Form 25%