A heat kernel approach to interest rate models

DOI10.1007/s13160-014-0147-3zbMath1304.35313arXiv0910.5033MaRDI QIDQ403855

Josef Teichmann, Jirô Akahori, Yuji Hishida, Takahiro Tsuchiya

Publication date: 29 August 2014

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.5033

zbMATH Keywords

state price density; Markov-functional

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

35R60: PDEs with randomness, stochastic partial differential equations

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

35K08: Heat kernel