Boundary conditions for the single-factor term structure equation

DOI10.1214/10-AAP698zbMath1232.91679arXiv1101.1149MaRDI QIDQ627249

Erik Ekström, Johan Tysk

Publication date: 21 February 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.1149

zbMATH Keywords

stochastic representationdegenerate parabolic equationsthe term structure equation

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

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Cites Work

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• Convexity theory for the term structure equation
• Degenerate stochastic differential equations and super-Markov chains
• Remarks on some short rate term structure models
• Degenerate stochastic differential equations with Hölder continuous coefficients and super-Markov chains
• Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
• FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS
• Arbitrage Theory in Continuous Time
• Interest rate models -- theory and practice

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