[Symétries de l'équation de la chaleur rétrograde avec potentiel et modèles de taux d'intérêt]
Nous calculons l'algèbre des isovecteurs de l'équation de Hamilton–Jacobi–Bellman lorsque le potentiel appartient à une certaine classe, qui inclut strictement celle des potentiels quadratiques, et en déterminons ensuite une base canonique. Ce cadre nous permet de paramétrer canoniquement l'importante classe des modèles affines de taux d'intérêt à un facteur.
We compute the isovector algebra of the Hamilton–Jacobi–Bellman equation when the potential belongs to a class that strictly includes quadratic potentials, and then determine a canonical basis for it. This setting allows us to parameterize canonically the important class of one factor interest rate models.
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@article{CRMATH_2014__352_6_525_0,
author = {Lescot, Paul and Quintard, H\'el\`ene},
title = {Symmetries of the backward heat equation with potential and interest rate models},
journal = {Comptes Rendus. Math\'ematique},
pages = {525--528},
publisher = {Elsevier},
volume = {352},
number = {6},
year = {2014},
doi = {10.1016/j.crma.2014.03.024},
language = {en},
url = {http://www.numdam.org/articles/10.1016/j.crma.2014.03.024/}
}
TY - JOUR AU - Lescot, Paul AU - Quintard, Hélène TI - Symmetries of the backward heat equation with potential and interest rate models JO - Comptes Rendus. Mathématique PY - 2014 SP - 525 EP - 528 VL - 352 IS - 6 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2014.03.024/ DO - 10.1016/j.crma.2014.03.024 LA - en ID - CRMATH_2014__352_6_525_0 ER -
%0 Journal Article %A Lescot, Paul %A Quintard, Hélène %T Symmetries of the backward heat equation with potential and interest rate models %J Comptes Rendus. Mathématique %D 2014 %P 525-528 %V 352 %N 6 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2014.03.024/ %R 10.1016/j.crma.2014.03.024 %G en %F CRMATH_2014__352_6_525_0
Lescot, Paul; Quintard, Hélène. Symmetries of the backward heat equation with potential and interest rate models. Comptes Rendus. Mathématique, Tome 352 (2014) no. 6, pp. 525-528. doi : 10.1016/j.crma.2014.03.024. http://www.numdam.org/articles/10.1016/j.crma.2014.03.024/
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