2009/11/14 by Lescot, Paul
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Probability (math.PR)
paper · doi:10.48550/arxiv.0911.2757
Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. Knowledge of the symmetries of the Hamilton-Jacobi-Bellman equation associated with these processes allows one to obtain relations between stochastic processes (Lescot-Zambrini, Progress in Probability, vols 58 and 59). More recently it has appeared that each one--factor affine interest rate model (in the sense of Leblanc-Scaillet) could be described using such a Bernstein process.