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1. A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS.

Author

PINTOUX, CAROLINE and PRIVAULT, NICOLAS

Subjects
*FOKKER-Planck equation, *WIENER processes, *FUNCTIONALS, *KERNEL functions, *INTEGRAL representations
Abstract

The solution of the Fokker–Planck equation for exponential Brownian functionals usually involves spectral expansions that are difficult to compute explicitly. In this paper, we propose a direct solution based on heat kernels and a new integral representation for the square modulus of the Gamma function. A financial application to bond pricing in the Dothan model is also presented. [ABSTRACT FROM AUTHOR]

Published
2010
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