A Wiener Chaos Approach to Hyperbolic SPDEs

DOI10.1080/07362994.2011.532023zbMath1219.60063OpenAlexW2127613116MaRDI QIDQ3168703

Nikolaos E. Frangos, Evangelia A. Kalpinelli, Athanasios N. Yannacopoulos

Publication date: 19 April 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.532023

zbMATH Keywords

Sobolev spaceMalliavin calculusWiener chaoscylindrical Brownian motioninterest rate modelinggeneralized solutions of hyperbolic stochastic partial differential equationsHeath-Jarrow-Morton forward rate model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (4)

Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model ⋮ Numerical methods for hyperbolic SPDEs: a Wiener chaos approach ⋮ Solutions of hyperbolic stochastic PDEs on bounded and unbounded domains ⋮ Operator differential-algebraic equations with noise arising in fluid dynamics

Cites Work

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• Stochastic scalar conservation laws
• Invariant measures for the Musiela equation with deterministic diffusion term
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• Interest rate models: an infinite dimensional stochastic analysis perspective
• Stochastic Partial Differential Equations Driven by Purely Spatial Noise
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Stochastic Differential Equations: A Wiener Chaos Approach

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