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