Hypoellipticity in infinite dimensions and an application in interest rate theory

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dc.creatorBaudoin, Fabrice
dc.creatorTeichmann, Josef
dc.date2005-08-24
dc.date.accessioned2026-07-07T05:22:37Z
dc.date.available2026-07-07T05:22:37Z
dc.descriptionWe 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/math/0508452
dc.identifierhttp://arxiv.org/abs/math/0508452
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 3, 1765-1777
dc.identifierdoi:10.1214/105051605000000214
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/76132
dc.subjectProbability
dc.subject60H07, 60H10, 60H30 (Primary)
dc.titleHypoellipticity in infinite dimensions and an application in interest rate theory
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