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arXiv 1905.04397math.PRq-fin.RM
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ERRATUM:随机波动率模型的大型投资组合的随机发展方程

ERRATUM: Stochastic evolution equations for large portfolios of stochastic volatility models

Ben Hambly, Nikolaos Kolliopoulos

摘要:

在文章“Stochastic发展方程为大型投资组合的随机波动率模型”(Arxiv:1701.05640)有一个错误的证明定理3.1。在这个勘误表中,我们建立了这个定理的一个较弱的版本,然后我们相应地重新发展了我们问题的正则性理论。这意味着我们的大多数正则性结果都被稍微弱一些的结果所取代。我们还澄清了一个正确结果的证明中的一点。

英文摘要:

In the article "Stochastic evolution equations for large portfolios of Stochastic Volatility models" (Arxiv:1701.05640) there is a mistake in the proof of Theorem 3.1. In this erratum we establish a weaker version of this Theorem and then we redevelop the regularity theory for our problem accordingly. This means that most of our regularity results are replaced by slightly weaker ones. We also clarify a point in the proof of a correct result.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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