ERRATUM: Stochastic evolution equations for large portfolios of stochastic volatility models
Probability
2019-09-30 v1 Risk Management
Abstract
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.
Keywords
Cite
@article{arxiv.1905.04397,
title = {ERRATUM: Stochastic evolution equations for large portfolios of stochastic volatility models},
author = {Ben Hambly and Nikolaos Kolliopoulos},
journal= {arXiv preprint arXiv:1905.04397},
year = {2019}
}
Comments
19 pages