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Hypoellipticity in infinite dimensions and an application in interest rate theory

Fabrice Baudoin·Josef Teichmann
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Abstract

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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Fabrice Baudoin, Josef Teichmann. 2005-08-24. Hypoellipticity in infinite dimensions and an application in interest rate theory. https://doi.org/10.1214/105051605000000214

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