Back to Search
Start Over
A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS.
- Source :
-
Analysis & Applications . Jul2010, Vol. 8 Issue 3, p287-304. 18p. - Publication Year :
- 2010
-
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]
Details
- Language :
- English
- ISSN :
- 02195305
- Volume :
- 8
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 52119213
- Full Text :
- https://doi.org/10.1142/S0219530510001655