Hypoellipticity in infinite dimensions and an application in interest rate theory
Probability
2007-05-23 v1
Abstract
We apply methods from Malliavin calculus to prove an infinite-dimensional version of Hormander's theorem for stochastic evolution equations in the spirit of Da Prato-Zabczyk. This result is used to show that HJM-equations from interest rate theory, which satisfy the Hormander condition, have the conceptually undesirable feature that any selection of yields admits a density as multi-dimensional random variable.
Keywords
Cite
@article{arxiv.math/0508452,
title = {Hypoellipticity in infinite dimensions and an application in interest rate theory},
author = {Fabrice Baudoin and Josef Teichmann},
journal= {arXiv preprint arXiv:math/0508452},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/105051605000000214 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)