Comptes Rendus
no. 6
Probability theory/Mathematical economics
Symmetries of the backward heat equation with potential and interest rate models

Presented by: the Editorial Board

Paul Lescot1; Hélène Quintard1
1 Normandie Université, Université de Rouen, Laboratoire de Mathématiques Raphaël-Salem, CNRS, UMR 6085, avenue de l'Université, BP 12, 76801 Saint-Étienne-du-Rouvray cedex, France
Comptes Rendus. Mathématique, Volume 352 (2014) no. 6, pp. 525-528.

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.

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.

Received:
Accepted:
Published online:
DOI: 10.1016/j.crma.2014.03.024

Paul Lescot 1; Hélène Quintard 1

1 Normandie Université, Université de Rouen, Laboratoire de Mathématiques Raphaël-Salem, CNRS, UMR 6085, avenue de l'Université, BP 12, 76801 Saint-Étienne-du-Rouvray cedex, France 
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Paul Lescot; Hélène Quintard. Symmetries of the backward heat equation with potential and interest rate models. Comptes Rendus. Mathématique, Volume 352 (2014) no. 6, pp. 525-528. doi : 10.1016/j.crma.2014.03.024. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2014.03.024/

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