Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models (Q2097017)
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| English | Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models |
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Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models (English)
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11 November 2022
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Asymptotic expansions in powers of \(\varepsilon\) are presented for a linear evolution equation in Hilbert space with singular perturbation \(\varepsilon G\). As application, a parabolic perturbation is studied for the Musiela SPDE in mathematical finance modeling the dynamics of forward rates.
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singular perturbations
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asymptotic expansions
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stochastic PDE
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interest rate models
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0.7788231372833252
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0.7630988955497742
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0.760743260383606
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