How do I compute the derivative \frac{\partial X_t}{\partial \sigma}? Where dX_t=\theta (\mu-X_t)dt+\sigma \sqrt{X_t}dZ_t
Remember to vote up questions/answers you find interesting or helpful (requires 15 reputation points)
|
0
|
|
|
|
|
1
|
You may want to see Kunita's "Stochastic Flows and Stochastic Differential Equations". Among other things, he develops a calculus of semimartingales with spatial parameters there, and discusses smoothness and differentiation with respect to parameters. |
||
|
|
