IEEE - Institute of Electrical and Electronics Engineers, Inc. - On systems and control concepts in linear interest rate theory

2003 European Control Conference (ECC)

Author(s): Mark A. Petersen
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 September 2003
Conference Location: Cambridge, UK, UK
Conference Date: 1 September 2003
Page(s): 2,967 - 2,972
ISBN (Paper): 978-3-9524173-7-9
DOI: 10.23919/ECC.2003.7086492
Regular:

This contribution discusses the concept of stochastic controllability within the framework of linear interest rate models of Heath-Jarrow-Morton-Musiela (HJMM) type that may be represented... View More

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