An explicit solution of a recurrence differential equation and its application in determining the conditional moments of quadratic variance diffusion processes
This paper investigates solutions of a recurrence differential equation (RDE) of the form: ' 1 1 1 ' 2 2 2 2 1 ' 2 2 2 2 1 2 ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ), k k k k k k k A t a A t A t a A t b A t A t a A t b A t c A t + + + + + + = = + = + + ' 1 1 1 '...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Prince of Songkla University
2021-08-01
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| Series: | Songklanakarin Journal of Science and Technology (SJST) |
| Subjects: | |
| Online Access: | https://rdo.psu.ac.th/sjstweb/journal/43-4/3.pdf |