Generating integrable one dimensional driftless diffusions
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Publication:857067
DOI10.1016/J.CRMA.2006.05.025zbMATH Open1109.58034OpenAlexW2040934032MaRDI QIDQ857067FDOQ857067
Tai-Ho Wang, Peter Carr, Peter Laurence
Publication date: 14 December 2006
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2006.05.025
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Cites Work
- Two singular diffusion problems
- A theory of the term structure of interest rates
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- On the Transformation of Diffusion Processes into the Wiener Process
- A jump to default extended CEV model: an application of Bessel processes
- Symmetry classification and exact solutions of the one-dimensional Fokker-Planck equation with arbitrary coefficients of drift and diffusion
- Generalised symmetries of Fokker-Planck-type equations
- CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
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