Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals (Q514947): Difference between revisions
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Ornstein-Uhlenbeck process | |||
| Property / zbMATH Keywords: Ornstein-Uhlenbeck process / rank | |||
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quadratic Brownian functionals | |||
| Property / zbMATH Keywords: quadratic Brownian functionals / rank | |||
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Fredholm expansions and equations | |||
| Property / zbMATH Keywords: Fredholm expansions and equations / rank | |||
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Volterra operators | |||
| Property / zbMATH Keywords: Volterra operators / rank | |||
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Cox-Ingersoll-Ross model | |||
| Property / zbMATH Keywords: Cox-Ingersoll-Ross model / rank | |||
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bond pricing | |||
| Property / zbMATH Keywords: bond pricing / rank | |||
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Revision as of 03:52, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals |
scientific article |
Statements
Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals (English)
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9 March 2017
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Ornstein-Uhlenbeck process
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quadratic Brownian functionals
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Fredholm expansions and equations
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Volterra operators
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Cox-Ingersoll-Ross model
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bond pricing
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