Spectral term structure models
classification
🧮 math.PR
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equationstructuretermcertainevolutionexistenceframeworkgives
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This note studies a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise, in a natural way, to an interest rate term structure model, in the same spirit as the Heath-Jarrow-Morton framework.
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