SOME SYSTEM-THEORETIC ASPECTS OF INTEREST-RATE THEORY

Authors
BJORK T CHRISTENSEN BJ GOMBANI A
Citation
T. Bjork et al., SOME SYSTEM-THEORETIC ASPECTS OF INTEREST-RATE THEORY, Insurance. Mathematics & economics, 22(1), 1998, pp. 17-23
Citations number
10
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Statistic & Probability",Mathematics,"Mathematics, Miscellaneous","Statistic & Probability
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
22
Issue
1
Year of publication
1998
Pages
17 - 23
Database
ISI
SICI code
0167-6687(1998)22:1<17:SSAOIT>2.0.ZU;2-O
Abstract
Using ideas and methods from system and control theory we review some recent results concering the following two problems: When is a given f inite-dimensional submanifold invariant under the action of the dynami cs of an interest rate model? When does there exist a finite-dimension al realisation of the input-output map generated by a forward rate mod el? (C) 1998 Elsevier Science B.V. All rights reserved.