无限维亚椭圆性及其在利率理论中的应用
Hypoellipticity in infinite dimensions and an application in interest rate theory
摘要：
我们从Malliavin演算的方法来证明一个无限维版本的随机发展方程的Hormander定理在Da Prato-Zabczyk的精神。这个结果被用来表明，HJM方程从利率理论，满足霍曼德条件，具有概念上不希望的功能，任何选择的收益率承认一个密度作为多维随机变量。
英文摘要：
We 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.
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