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Mathematics > Probability

arXiv:2208.03939 (math)
[Submitted on 8 Aug 2022 (v1), last revised 13 May 2023 (this version, v4)]

Title:Cylindrical stochastic integration and applications to financial term structure modeling

Authors:Johannes Assefa, Philipp Harms
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Abstract:We develop a novel - cylindrical - solution concept for stochastic evolution equations. Our motivation is to establish a Heath-Jarrow-Morton framework capable of analysing financial term structures with discontinuities, overcoming deep stochastic-analytic limitations posed by mild or weak solution concepts. Our cylindrical approach, which we investigate in full generality, bypasses these difficulties and nicely mirrors the structure of a large financial market.
Comments: 19 pages, 2 figures
Subjects: Probability (math.PR); Mathematical Finance (q-fin.MF)
MSC classes: 60H05 (Primary), 60H15, 91G30 (Secondary)
Cite as: arXiv:2208.03939 [math.PR]
  (or arXiv:2208.03939v4 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.2208.03939

Submission history

From: Philipp Harms [view email]
[v1] Mon, 8 Aug 2022 07:08:07 UTC (131 KB)
[v2] Fri, 12 Aug 2022 14:57:24 UTC (131 KB)
[v3] Sun, 9 Oct 2022 12:50:48 UTC (131 KB)
[v4] Sat, 13 May 2023 03:24:07 UTC (132 KB)
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