Asymptotic expansions of evolution equations with fast volatility
We study Kolmogorov forward equations (KFE) and Zakai equations for diffusion processes with a fast mean-reverting stochastic volatility component. In the case of the KFE, a parabolic PDE in divergence form, we perform a matched asymptotic expansion up to first order in the small mean-reversion time...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2025
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