Compact Embeddings for Spaces of Forward Rate Curves

Stefan Tappe

Abstract and Applied Analysis, 2013, vol. 2013, 1-6

Abstract:

The goal of this paper 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.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:709505

DOI: 10.1155/2013/709505

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