Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
Articolo
Data di Pubblicazione:
2023
Abstract:
We study the dependence of mild solutions to linear stochastic evolution equations on Hilbert space driven by Wiener noise, with drift having linear part of the type A+εG, on the parameter ε. In particular, we study the limit and the asymptotic expansions in powers of ε of these solutions, as well as of functionals thereof, as ε→0, with good control on the remainder. These convergence and series expansion results are then applied to a parabolic perturbation of the Musiela SPDE of mathematical finance modeling the dynamics of forward rates.
Tipologia CRIS:
Articolo su Rivista
Keywords:
Singular perturbations; Asymptotic expansions; Stochastic PDE; Interest rate models
Elenco autori:
Albeverio, Sergio; Marinelli, Carlo; Mastrogiacomo, Elisa
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