Albeverio, S;
Marinelli, C;
Mastrogiacomo, E;
(2023)
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models.
Journal of Differential Equations
, 342
pp. 282-324.
10.1016/j.jde.2022.09.037.
Preview |
Text
1-s2.0-S0022039622005691-main.pdf - Published Version Download (487kB) | Preview |
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.
| Type: | Article |
|---|---|
| Title: | Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.jde.2022.09.037 |
| Publisher version: | https://doi.org/10.1016/j.jde.2022.09.037 |
| Language: | English |
| Additional information: | © 2022 The Authors. Published by Elsevier Inc. under a Creative Commons license (https://creativecommons.org/licenses/by/4.0/ ). |
| Keywords: | Singular perturbations, Asymptotic expansions, Stochastic PDE, Interest rate models |
| UCL classification: | UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics UCL > Provost and Vice Provost Offices > UCL BEAMS UCL |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10158141 |
Archive Staff Only
 |
View Item |
