scientific article

zbMath1327.37022MaRDI QIDQ3195629

Luca Di Persio, Francesco Giuseppe Cordoni

Publication date: 20 October 2015

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

invariant measurestochastic partial differential equationVasicek modelOrnstein-Uhlenbeck semigroupforward ratestrongly continuous contraction semigroupassociated Kolmogorov equationHeath-Jarrow-Morton-Musiela model

Mathematics Subject Classification ID

One-parameter semigroups and linear evolution equations (47D06) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Infinite-dimensional random dynamical systems; stochastic equations (37L55) Invariant measures for infinite-dimensional dissipative dynamical systems (37L40)

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Maximal irreducibility measure for spatial birth-and-death processes ⋮ A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Feedback optimal controllers for the Heston model ⋮ Gaussian estimates on networks with dynamic stochastic boundary conditions ⋮ Optimal control for the stochastic Fitzhugh-Nagumo model with recovery variable ⋮ A BSDE with delayed generator approach to pricing under counterparty risk and collateralization

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