A Wiener Chaos Approach to Hyperbolic SPDEs

DOI10.1080/07362994.2011.532023MaRDI QIDQ3168703zbMATH OpenOpenAlexFDO

Authors Evangelia A. Kalpinelli, Nikos E. Frangos, Athanasios 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

cylindrical Brownian motiongeneralized solutions of hyperbolic stochastic partial differential equationsHeath-Jarrow-Morton forward rate modelinterest rate modelingMalliavin calculusSobolev spaceWiener chaos

Mathematics Subject Classification ID

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

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Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• scientific article; zbMATH DE number 16041 (Why is no real title available?)
• scientific article; zbMATH DE number 1181255 (Why is no real title available?)
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Invariant measures for the Musiela equation with deterministic diffusion term
• Stochastic Differential Equations: A Wiener Chaos Approach
• Stochastic partial differential equations driven by purely spatial noise
• Stochastic scalar conservation laws
• Wiener chaos solutions of linear stochastic evolution equations

Cited in

(10)

• Solutions of hyperbolic stochastic PDEs on bounded and unbounded domains
• Wiener chaos solutions of linear stochastic evolution equations
• Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
• scientific article; zbMATH DE number 991410 (Why is no real title available?)
• Wiener chaos solutions for linear backward stochastic evolution equations
• scientific article; zbMATH DE number 721932 (Why is no real title available?)
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• Numerical methods for hyperbolic SPDEs: a Wiener chaos approach
• Operator differential-algebraic equations with noise arising in fluid dynamics
• Wiener chaos and the Cox–Ingersoll–Ross model

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