Agram, Nacira; Øksendal, Bernt A financial market with singular drift and no arbitrage. (English) Zbl 1465.91104 Math. Financ. Econ. 15, No. 3, 477-500 (2021). MSC: 91G15 91G10 60H05 60H40 PDF BibTeX XML Cite \textit{N. Agram} and \textit{B. Øksendal}, Math. Financ. Econ. 15, No. 3, 477--500 (2021; Zbl 1465.91104) Full Text: DOI arXiv OpenURL
Hull, John; White, Alan Interest rate trees: extensions and applications. (English) Zbl 1400.91631 Quant. Finance 18, No. 7, 1199-1209 (2018). MSC: 91G30 PDF BibTeX XML Cite \textit{J. Hull} and \textit{A. White}, Quant. Finance 18, No. 7, 1199--1209 (2018; Zbl 1400.91631) Full Text: DOI OpenURL
Riedel, S.; Scheutzow, M. Rough differential equations with unbounded drift term. (English) Zbl 1357.34096 J. Differ. Equations 262, No. 1, 283-312 (2017). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 34F05 60H10 PDF BibTeX XML Cite \textit{S. Riedel} and \textit{M. Scheutzow}, J. Differ. Equations 262, No. 1, 283--312 (2017; Zbl 1357.34096) Full Text: DOI arXiv OpenURL
Da Prato, G.; Flandoli, F.; Priola, E.; Röckner, M. Strong uniqueness for stochastic evolution equations with unbounded measurable drift term. (English) Zbl 1332.60091 J. Theor. Probab. 28, No. 4, 1571-1600 (2015). Reviewer: Martin Ondreját (Praha) MSC: 60H15 60H10 PDF BibTeX XML Cite \textit{G. Da Prato} et al., J. Theor. Probab. 28, No. 4, 1571--1600 (2015; Zbl 1332.60091) Full Text: DOI arXiv OpenURL
Nicolay, David Asymptotic chaos expansions in finance. Theory and practice. (English) Zbl 1418.91015 Springer Finance. Lecture Notes. London: Springer (ISBN 978-1-4471-6505-7/pbk; 978-1-4471-6506-4/ebook). xxii, 491 p. (2014). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91-02 91G80 91G60 35Q91 91G30 37N40 PDF BibTeX XML Cite \textit{D. Nicolay}, Asymptotic chaos expansions in finance. Theory and practice. London: Springer (2014; Zbl 1418.91015) Full Text: DOI OpenURL
Cui, Xia Empirical studies on stochastic differential equations based on nonparametric methods. (Chinese. English summary) Zbl 1313.60096 J. Guangzhou Univ., Nat. Sci. 12, No. 4, 7-11 (2013). MSC: 60H10 62G05 62P20 PDF BibTeX XML Cite \textit{X. Cui}, J. Guangzhou Univ., Nat. Sci. 12, No. 4, 7--11 (2013; Zbl 1313.60096) OpenURL
Gómez-Valle, L.; Martínez-Rodríguez, J. A numerical approach to obtain the yield curves with different risk-neutral drifts. (English) Zbl 1235.91167 Math. Comput. Modelling 54, No. 7-8, 1773-1780 (2011). MSC: 91G30 91G60 65M06 PDF BibTeX XML Cite \textit{L. Gómez-Valle} and \textit{J. Martínez-Rodríguez}, Math. Comput. Modelling 54, No. 7--8, 1773--1780 (2011; Zbl 1235.91167) Full Text: DOI OpenURL
Hata, Hiroaki “Down-side risk” probability minimization problem with Cox-Ingersoll-Ross’s interest rates. (English) Zbl 1208.91134 Asia-Pac. Financ. Mark. 18, No. 1, 69-87 (2011). MSC: 91G10 91G30 49L20 93E20 PDF BibTeX XML Cite \textit{H. Hata}, Asia-Pac. Financ. Mark. 18, No. 1, 69--87 (2011; Zbl 1208.91134) Full Text: DOI OpenURL
Fatone, Lorella; Pacelli, Graziella; Recchioni, Maria Cristina; Zirilli, Francesco A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term. (English) Zbl 1168.35380 Nonlinear Anal., Hybrid Syst. 2, No. 1, 144-183 (2008). MSC: 35K55 60H15 PDF BibTeX XML Cite \textit{L. Fatone} et al., Nonlinear Anal., Hybrid Syst. 2, No. 1, 144--183 (2008; Zbl 1168.35380) Full Text: DOI OpenURL
Jourdain, Benjamin; Lelièvre, Tony Mathematical analysis of a stochastic differential equation arising in the micro-macro modelling of polymeric fluids. (English) Zbl 1081.76006 Davies, I.M. (ed.) et al., Probabilistic methods in fluids. Proceedings of the Swansea 2002 workshop, Wales, UK, April 14–19, 2002. Singapore: World Scientific (ISBN 981-238-226-7/hbk). 205-223 (2003). MSC: 76A05 76M35 60H15 82D60 PDF BibTeX XML Cite \textit{B. Jourdain} and \textit{T. Lelièvre}, in: Probabilistic methods in fluids. Proceedings of the Swansea 2002 workshop, Wales, UK, April 14--19, 2002. Singapore: World Scientific. 205--223 (2003; Zbl 1081.76006) OpenURL
Deelstra, G.; Delbaen, F. Convergence of discretized stochastic (interest rate) processes with stochastic drift term. (English) Zbl 0915.60064 Appl. Stochastic Models Data Anal. 14, No. 1, 77-84 (1998). Reviewer: Yu.V.Kozachenko (Kyïv) MSC: 60H10 62P20 PDF BibTeX XML Cite \textit{G. Deelstra} and \textit{F. Delbaen}, Appl. Stochastic Models Data Anal. 14, No. 1, 77--84 (1998; Zbl 0915.60064) Full Text: DOI OpenURL
Aït-Sahalia, Yacine Nonparametric pricing of interest rate derivative securities. (English) Zbl 0844.62094 Econometrica 64, No. 3, 527-560 (1996). MSC: 62P05 62G07 62M05 91G20 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia}, Econometrica 64, No. 3, 527--560 (1996; Zbl 0844.62094) Full Text: DOI Link OpenURL
Antoniouk, Alexandre Val.; Antoniouk, Alexandra Vict. How the unbounded drift shapes the Dirichlet semigroups behaviour of non-Gaussian Gibbs measures. (English) Zbl 0888.47021 J. Funct. Anal. 135, No. 2, 488-518 (1996). Reviewer: R.Alicki (Gdansk) MSC: 47D06 60H30 PDF BibTeX XML Cite \textit{A. Val. Antoniouk} and \textit{A. Vict. Antoniouk}, J. Funct. Anal. 135, No. 2, 488--518 (1996; Zbl 0888.47021) Full Text: DOI OpenURL
Gard, Thomas C.; Ragsdale, Katherine B. Recurrence for stochastic predator-prey models. (English) Zbl 0926.34045 Martelli, Mario (ed.) et al., Differential equations and applications to biology and to industry. Proceedings of the Claremont international conference dedicated to the memory of Stavros Busenberg (1941–1993), Claremont, CA, USA, June 1–4, 1994. Singapore: World Scientific. 117-124 (1996). Reviewer: D.Bobrowski (Poznań) MSC: 34F05 60H10 92D25 92D50 37H10 37N25 PDF BibTeX XML Cite \textit{T. C. Gard} and \textit{K. B. Ragsdale}, in: Differential equations and applications to biology and to industry. Proceedings of the Claremont international conference dedicated to the memory of Starvros Busenberg (1941--1993), Claremont, CA, USA, June 1--4, 1994. Singapore: World Scientific. 117--124 (1996; Zbl 0926.34045) OpenURL
Deelstra, G.; Delbaen, F. Long-term returns in stochastic interest rate models. (English) Zbl 0847.62082 Insur. Math. Econ. 17, No. 2, 163-169 (1995). MSC: 62P05 60G35 60J65 PDF BibTeX XML Cite \textit{G. Deelstra} and \textit{F. Delbaen}, Insur. Math. Econ. 17, No. 2, 163--169 (1995; Zbl 0847.62082) Full Text: DOI OpenURL
Aebi, Robert Diffusions with singular drift related to wave functions. (English) Zbl 0791.60066 Probab. Theory Relat. Fields 96, No. 1, 107-121 (1993). Reviewer: R.Aebi (Zürich) MSC: 60J60 58J65 60J70 PDF BibTeX XML Cite \textit{R. Aebi}, Probab. Theory Relat. Fields 96, No. 1, 107--121 (1993; Zbl 0791.60066) Full Text: DOI OpenURL