On small-noise equations with degenerate limiting system arising from volatility models

Giovanni Conforti, Stefano De Marco and Jean-Dominique Deuschel

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Abstract: The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma

Date: 2014-04, Revised 2014-08
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