Polynomial diffusions and applications in finance

  title={Polynomial diffusions and applications in finance},
  author={Damir Filipovi{\'c} and Martin Larsson},
  journal={Finance and Stochastics},
This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and electricity. Uniqueness of polynomial diffusions is established via moment determinacy in combination with pathwise uniqueness. Existence boils down to a stochastic invariance problem that we solve for semialgebraic state spaces. Examples… 

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  • B. Hajek
  • Mathematics
    The 23rd IEEE Conference on Decision and Control
  • 1984
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