Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models

2009/11/11 by Lescot, Paul
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.0911.2229

Abstract

We give an exposition, following joint works with J.-C. Zambrini, of the link between Euclidean Quantum Mechanics, Bernstein processes and isovectors for the heat equation. A new application to Mathematical Finance is then discussed.

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