Representation of infinite-dimensional forward price models in commodity markets

DOI10.1007/s40304-014-0030-1zbMath1322.60100arXiv1403.4111OpenAlexW2142661098MaRDI QIDQ403550

Paul Krühner, Fred Espen Benth

Publication date: 29 August 2014

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.4111

zbMATH Keywords

Hilbert spaceLévy processHilbert-Schmidt operatorsintegral operatorsstationary processesstochastic partial differential equationOrnstein-Uhlenbeck processescommodity marketsforward price modelsHeath-Jarrow-Morton approachinfinite-dimensional stochastic processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Integral operators (47G10)

Related Items (13)

Cointegration in continuous time for factor models ⋮ Affine pure-jump processes on positive Hilbert-Schmidt operators ⋮ Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach ⋮ Independent increment processes: a multilinearity preserving property ⋮ An infinite‐dimensional affine stochastic volatility model ⋮ Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility ⋮ Pricing options on flow forwards by neural networks in a Hilbert space ⋮ Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models ⋮ Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications -- ⋮ Sensitivity analysis in the infinite dimensional Heston model ⋮ Infinite-dimensional polynomial processes ⋮ The Heston stochastic volatility model in Hilbert space ⋮ A weak law of large numbers for realised covariation in a Hilbert space setting

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