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Vasicek and Cox-Ingersoll-Ross Lie brackets: Computed results vs W. Sinkala’s results
  • Ledwaba NM,
  • Fredericks E
Ledwaba NM
University of Cape Town Department of Mathematics and Applied Mathematics

Corresponding Author:[email protected]

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Fredericks E
University of Cape Town Department of Mathematics and Applied Mathematics
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Abstract

We present the computation of the infinitesimal generators of Vasicek PDE and Cox-Ingersoll-Ross PDE obtained using Mathematica and comparing the results to Sinkala’s computation after reviewing an article. We confirm our results in Lie brackets and compare them to Sinkala’s.