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Applications

Chapter
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Part of the Probability Theory and Stochastic Modelling book series (PTSM, volume 73)

Abstract

In this chapter we show how the results of Chap.  5 can be used to solve some problems arising in finance. In addition, we provide motivation for the study of Chap.  5 since the Zakai equation in filtering problems has the form of the SPDEs studied there.

Keywords

Stochastic Partial Differential Equations (SPDEs) Zakai Equation Forward Curves Term Structure Models Reproducing Kernel Hilbert Space (RKHS) 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.Department of Statistics and ProbabilityMichigan State UniversityEast LansingUSA
  2. 2.Department of Mathematics and InformaticsUniversity of WuppertalWuppertalGermany

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