A Feynman-Kac type formula for a fixed delay CIR model (Q5378408)
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scientific article; zbMATH DE number 7065386
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Feynman-Kac type formula for a fixed delay CIR model |
scientific article; zbMATH DE number 7065386 |
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A Feynman-Kac type formula for a fixed delay CIR model (English)
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12 June 2019
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stochastic delay differential equations
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interest rate model
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equivalent martingale measure
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generalized Bessel-square processes
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