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Fig. 1 | Probability, Uncertainty and Quantitative Risk

Fig. 1

From: Affine processes under parameter uncertainty

Fig. 1

This figure shows the solution of the nonlinear Kolmogorov equation for the nonlinear Vasiček-model with boundary condition f(x)=ex. The dashed line shows the solutions for the Vasiček model with parameter-set \((\overline b_{0}, \underline b_{1}, \overline a_{0}) \) (on \(\mathbb {R}_{<0}\)) and \((\overline b_{0}, \overline b_{1}, \overline a_{0}) \) (on \(\mathbb {R}_{\ge 0}\)) and illustrate the nonlinearity in the solution due to the parameter uncertainty. Note that when x is positive, the curves overlap in the figure

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