Abstract and Applied Analysis

A Stochastic String with a Compound Poisson Process

Sheng Fan

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Abstract

We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process. We derive the no-arbitrage condition on the drift of instantaneous forward rates in the compound model and study the impact of random jump on the price of the zero-coupon bond.

Article information

Source
Abstr. Appl. Anal., Volume 2013, Special Issue (2013), Article ID 857678, 8 pages.

Dates
First available in Project Euclid: 26 February 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1393443522

Digital Object Identifier
doi:10.1155/2013/857678

Mathematical Reviews number (MathSciNet)
MR3090271

Citation

Fan, Sheng. A Stochastic String with a Compound Poisson Process. Abstr. Appl. Anal. 2013, Special Issue (2013), Article ID 857678, 8 pages. doi:10.1155/2013/857678. https://projecteuclid.org/euclid.aaa/1393443522


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