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math.PR2011★ 3 cited
Can time-homogeneous diffusions produce any distribution?
Erik Ekström, David Hobson, Svante Janson +1
Given a centred distribution, can one find a time-homogeneous martingale diffusion starting at zero which has the given law at time 1? We answer the question affirmatively if gener…
math.PR2011★ 29 cited
Boundary conditions for the single-factor term structure equation
Erik Ekström, Johan Tysk
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique c…