An alternative approach on the existence of affine realizations for HJM term structure models
DOI10.1098/rspa.2009.0493zbMath1211.60027arXiv1907.03256OpenAlexW2136308442MaRDI QIDQ2997301
Publication date: 6 May 2011
Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.03256
Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Infinite-dimensional random dynamical systems; stochastic equations (37L55)
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