Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models

DOI10.1016/j.jde.2022.09.037zbMath1502.60099arXiv2012.14510OpenAlexW3117672045MaRDI QIDQ2097017

Elisa Mastrogiacomo, Carlo Marinelli, Sergio A. Albeverio

Publication date: 11 November 2022

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.14510

zbMATH Keywords

singular perturbationsasymptotic expansionsinterest rate modelsstochastic PDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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