论文标题
圆柱随机整合和财务术语结构建模的应用
Cylindrical stochastic integration and applications to financial term structure modeling
论文作者
论文摘要
我们为随机演化方程开发了一种新颖的 - 圆柱 - 解决方案概念。我们的动机是建立一个能够分析不连续性的财务术语结构的荒地jarrow-morton框架，克服了由轻度或弱解决方案概念构成的深层随机分析限制。我们全面调查的圆柱方法绕过了这些困难，并很好地反映了大型金融市场的结构。
We develop a novel - cylindrical - solution concept for stochastic evolution equations. Our motivation is to establish a Heath-Jarrow-Morton framework capable of analysing financial term structures with discontinuities, overcoming deep stochastic-analytic limitations posed by mild or weak solution concepts. Our cylindrical approach, which we investigate in full generality, bypasses these difficulties and nicely mirrors the structure of a large financial market.
