Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models
DOI10.1080/07362994.2015.1009548zbMath1317.60070arXiv1410.1220OpenAlexW3123366912MaRDI QIDQ5256269
Xinghua Zhou, Cody Blaine Hyndman
Publication date: 22 June 2015
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.1220
Riccati equationsforward-backward stochastic differential equationsquadratic price modelquadratic term-structure modelszero coupon bond price
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)
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