Interest randomness and differential equations

DOI10.1007/BF02808909MaRDI QIDQ4320525zbMATH OpenOpenAlexFDO

Authors Ann De Schepper, Marc J. Goovaerts

Publication date 31 January 1995

Published in Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02808909

zbMATH Keywords

annuitieseigenfunctionseigenvaluesrandomness in interest ratessecond order differential equationsWiener integralWiener processes

Mathematics Subject Classification ID

Stochastic analysis (60H99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Stochastic Interest Rates
• scientific article; zbMATH DE number 1336612
• scientific article; zbMATH DE number 5824504
• Infinite dimensional diffusions, Kolmogorov equations and interest rate models
• Random step functions model for interest rates
• Interest and mortality randomness in some annuities
• A chaotic approach to interest rate modelling
• Probability Properties of Interest Rate Models

Cites work

• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 3082267 (Why is no real title available?)
• Interest randomness in annuities certain
• On Distributions of Certain Wiener Functionals
• The Laplace transform of annuities certain with exponential time distribution

Cited in

(2)

• Extra randomness in certain annuity models
• A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall

This page was built for publication: Interest randomness and differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4320525)