On the construction of finite dimensional realizations for nonlinear forward rate models

DOI10.1007/s007800100060zbMath1026.60084OpenAlexW1525566855MaRDI QIDQ1409832

Publication date: 22 October 2003

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800100060

zbMATH Keywords

Markov process state space model factor model HJM model forward rate

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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