Black's consol rate conjecture
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Publication:1901078
DOI10.1214/aoap/1177004768zbMath0830.60052OpenAlexW1966177997WikidataQ123272613 ScholiaQ123272613MaRDI QIDQ1901078
Jin Ma, Jiong-min Yong, J. Darrell Duffie
Publication date: 15 January 1996
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177004768
term structure of interest ratesforward-backward stochastic differential equationsnodal solutionsconsol rate problem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic integral equations (60H20)
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