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Multidimensional Diffusion Processes Daniel W. Stroock, S.R. S. Varadhan
Publisher: Springer

In stochastic volatility models, the volatility is driven by a Brownian motion uniformly with the driving Brownian motion for the stock price and the price-volatility process is a multidimensional diffusion process. Keywords: Elliptic differential operators, Uniqueness in law. See Stroock-Varadhan, Multidimensional Diffusion Processes, Springer 1979. On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. A Discretely Observed Diffusion Process We consider a one-dimensional diffusion process X, with ergodic property, with drift that may be multidimensional. MULTIDIMENSIONAL DIFFUSION PROCESSES. Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes. Multidimensional diffusion processes. Title, Multidimensional Diffusion Processes. Abstract For a multi-dimensional diffusion process, an important problem is whether the associated basic adjoint relationship (BAR) uniquely characterizes the. 5.4 Multidimensional Diffusion Processes . Smoothness of the distribution of the supremum of a multi-dimensional diffusion process. 5.6 Examples of Diffusion Processes . K., Ergodic control of multidimensional diffusions I: the existence. Wang, On order-preservation and positive correlations for multidimensional diffusion processes, Prob. In this paper, we consider a multidimensional diffusion process with jumps whose jump term is driven by a compound Poisson process. 5.2 Definition of a Diffusion Process . Control of nondegenerate diffusion processes are described. P., section B, tome 29, no 1 (1993), p.