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Compact embeddings for spaces of forward rate curves

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  • Stefan Tappe

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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  • Stefan Tappe, 2019. "Compact embeddings for spaces of forward rate curves," Papers 1907.01437, arXiv.org.
    • Handle: RePEc:arx:papers:1907.01437
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    1. Damir Filipović & Stefan Tappe, 2008. "Existence of Lévy term structure models," Finance and Stochastics, Springer, vol. 12(1), pages 83-115, January.
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