Transition density for CIR process by Lie symmetries and application to ZCB pricing

DOI10.12732/IJPAM.V88I2.7zbMATH Open1284.60127OpenAlexW2040757838MaRDI QIDQ2867720FDOQ2867720

Authors: Luca Di Persio, Francesco Cordoni 

Publication date: 20 December 2013

Published in: International Journal of Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.ijpam.eu/contents/2013-88-2/7/index.html

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zbMATH Keywords

CIR processstochastic differential equationstransition densitiesdiffusion processesLie symmetry groups

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80)

Cited In (2)

• Mild solutions to the dynamic programming equation for stochastic optimal control problems
• Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds

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