Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
Probability
2011-10-28 v2 Computational Finance
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.
Cite
@article{arxiv.0911.2229,
title = {Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models},
author = {Paul Lescot},
journal= {arXiv preprint arXiv:0911.2229},
year = {2011}
}