Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
Paul Lescot (LMRS)
TL;DR
This paper explores the connections between Euclidean Quantum Mechanics, Bernstein processes, and isovectors for the heat equation, and introduces a novel application of these concepts to Mathematical Finance.
Contribution
It provides an exposition of the link between these mathematical frameworks and proposes a new application in financial modeling.
Findings
Established the relationship between Bernstein processes and Euclidean Quantum Mechanics.
Identified the role of isovectors in the heat equation within this context.
Proposed a new financial model based on these mathematical insights.
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.
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Taxonomy
TopicsStochastic processes and financial applications · Mathematical and Theoretical Analysis · Complex Systems and Time Series Analysis