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Asymptotic behavior of functions, asymptotic series and related topics

4 votes

A Stochastic Taylor Expansion/Asymptotics

Write $f(t) := \mathbb E \left[ \exp\left( - \int_0^t r_s \ d s \right) \right]$. Define stochastic processes $y_t = \exp \left( -\int_0^t r_s \ d s \right)$ and $z_t = r_t y_t$. Then $y_t = 1 - \int_ …
Joris Bierkens's user avatar