Compact embeddings for spaces of forward rate curves

DOI10.1155/2013/709505zbMath1470.91296arXiv1907.01437OpenAlexW2162565923WikidataQ58916691 ScholiaQ58916691MaRDI QIDQ2318998

Stefan Tappe

Publication date: 16 August 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.01437

Mathematics Subject Classification ID

Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

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• Heath-Jarrow-Morton-Musiela equation with Lévy perturbation
• Existence of Lévy term structure models
• Functional analysis, Sobolev spaces and partial differential equations
• Jump-diffusions in Hilbert spaces: existence, stability and numerics
• Mean reversion for HJMM forward rate models
• Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity
• Functional analysis
• Consistency problems for Heath-Jarrow-Morton interest rate models

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