Compact embeddings for spaces of forward rate curves

2019/07/02 by Tappe, Stefan
#46E35 #91G80 #FOS: Economics and business #FOS: Mathematics #Functional Analysis (math.FA) #Mathematical Finance (q-fin.MF) #Probability (math.PR)

paper · doi:10.48550/arxiv.1907.01437

Abstract

The goal of this note is to prove a compact embedding result for spaces of forward rate curves. As a consequence of this result, we show that any forward rate evolution can be approximated by a sequence of finite dimensional processes in the larger state space.

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