Approximation and application of the Musiela stochastic PDE in forward rate models

DOI10.1080/00207160.2012.673596zbMath1255.62316MaRDI QIDQ4903547

Jungmin Choi, Max D. Gunzburger

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.673596

zbMATH Keywords

error analysis; stochastic PDE; Musiela equation; SUPG finite element methods

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

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

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