Hypoellipticity in infinite dimensions and an application in interest rate theory

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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.
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)

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Probability, 60H07, 60H10, 60H30 (Primary)

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http://salesiana.dossiersoluciones.com/handle/123456789/76132

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0508452
 http://arxiv.org/abs/math/0508452
 Annals of Applied Probability 2005, Vol. 15, No. 3, 1765-1777
 doi:10.1214/105051605000000214

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arXiv