Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals

DOI10.11650/TJM.19.2015.4072zbMATH Open1357.60086OpenAlexW1760156264MaRDI QIDQ514947FDOQ514947

Authors: Nicolas Privault, Hailing Wu 

Publication date: 9 March 2017

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/tjm.19.2015.4072

Recommendations

• On the numerical evaluation of Fredholm determinants
• Fredholm determinants and \(\tau\)-functions
• scientific article; zbMATH DE number 1361549
• Fredholm determinants
• Teoremi sui poligoni di steiner inscritti in una curva di terzo ordine
• Functional calculus for the Ornstein-Uhlenbeck operator
• Finite dimensional determinants as characteristic functions of quadratic Wiener functionals
• Entire Fredholm determinants for evaluation of semiclassical and thermodynamical spectra
• Fredholm determinant and the Sturm-Liouville problems in quantum mechanics
• An algorithm for the evaluation of certain Fredholm determinants

zbMATH Keywords

Ornstein-Uhlenbeck processbond pricingCox-Ingersoll-Ross modelVolterra operatorsFredholm expansions and equationsquadratic Brownian functionals

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Laplace transform (44A10) Volterra integral equations (45D05) Fredholm integral equations (45B05) Numerical computation of determinants (65F40)

Cited In (1)

• Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators

This page was built for publication: Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q514947)