Search

Your search keyword '"Privault, Nicolas"' showing total 1 results
Start Over Author "Privault, Nicolas" Journal analysis & applications Publisher world scientific publishing company
1 results on '"Privault, Nicolas"'

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
Full Text
View/download PDF

Catalog

Books, media, physical & digital resources
See catalog results