Wiener chaos and the Cox–Ingersoll–Ross model

DOI10.1098/rspa.2004.1366zbMath1145.60319arXivmath/0307197OpenAlexW2101736936MaRDI QIDQ5422670

T. R. Hurd, M. R. Grasselli

Publication date: 30 October 2007

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0307197

zbMATH Keywords

Wiener chaosfunctional integralsinterest-rate modelssquared Gaussian models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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