Hypoellipticity in infinite dimensions and an application in interest rate theory

DOI10.1214/105051605000000214zbMath1081.60039arXivmath/0508452OpenAlexW1995702983MaRDI QIDQ2572392

Josef Teichmann, Fabrice Baudoin

Publication date: 8 November 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0508452

zbMATH Keywords

Malliavin calculusHörmander theoremstochastic evolution equationgeneric evolutions in interest rate theoryHJM equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuity and singularity of induced measures (60G30)

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Cites Work

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