Some results on strong solutions of SDEs with applications to interest rate models
type: Item
instance of: scholarly article
title: Some results on strong solutions of SDEs with applications to interest rate models
zbMATH Open document ID: 1115.60062
author: Johannes Wissel
published in: Stochastic Processes and their Applications
publication date: 2007-06-08T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 5162652
zbMATH Keywords: SDEs
zbMATH Keywords: strong solutions
zbMATH Keywords: Lipschitz conditions
zbMATH Keywords: term structure models
zbMATH Keywords: HJM interest rate models
MaRDI profile type: Publication
full work available at URL: j.spa.2006.09.011
OpenAlex ID: W2038471468
cites work: Interest rate models: an infinite dimensional stochastic analysis perspective
cites work: Stochastic Equations in Infinite Dimensions
cites work: Consistency problems for Heath-Jarrow-Morton interest rate models
cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
cites work: Calcul stochastique et problèmes de martingales
cites work: Q4002114
cites work: Q4435813
cites work: Q4226355
cites work: A market model for stochastic implied volatility
cites work: TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
DOI: 10.1016/J.SPA.2006.09.011
description: scientific article; zbMATH DE number 5162652