Abstract
We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process. We derive the no-arbitrage condition on the drift of instantaneous forward rates in the compound model and study the impact of random jump on the price of the zero-coupon bond.
Citation
Sheng Fan. "A Stochastic String with a Compound Poisson Process." Abstr. Appl. Anal. 2013 (SI42) 1 - 8, 2013. https://doi.org/10.1155/2013/857678