Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models

DOI10.1016/j.jde.2022.09.037zbMath1502.60099arXiv2012.14510MaRDI QIDQ2097017

Carlo Marinelli, Elisa Mastrogiacomo, Sergio A. Albeverio

Publication date: 11 November 2022

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.14510

zbMATH Keywords

singular perturbations; asymptotic expansions; interest rate models; stochastic PDE

Mathematics Subject Classification ID

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences