Applications of
Stochastic partial differential equations

 

Non-linear filtering / Oceanography /

Quantum field theory / Interest rate modeling /

Turbulence / Interface dynamics .


SPDEs in Interest rate modeling

 

Tomas Bjork: A geometric view of interest rate theory.

Damir Filipovic:

Ben Goldys & Marek Musiela: Infinite dimensional diffusions, Kolmogorov equations and interest rate models.
UNSW Preprint, 1998.

Shiva Zamani ( 2000 ): Properties of the HJM-Musiela equation. CMAP Working Paper.


Interface dynamics:


Turbulence


Non-linear filtering

Rama CONT
Centre de Mathématiques Appliquées
CNRS - Ecole Polytechnique
F-91128 Palaiseau, France.
Tel. 00 33 1 69 33 45 67 - Fax 00 33 1 69 33 30 11