A Wiener Chaos Approach to Hyperbolic SPDEs

E. A. Kalpinelli, N. E. Frangos, A. N. Yannacopoulos
2011 Stochastic Analysis and Applications  
We construct generalized weighted Wiener chaos solutions for hyperbolic linear SPDEs driven by a cylindrical Brownian Motion. Explicit conditions for the existence, uniqueness and regularity of generalized (Wiener Chaos) solutions are established in Sobolev spaces. An equivalence relation between the Wiener Chaos solution and the traditional one is established. The Heath-Jarrow-Morton (HJM) forward rate model is used as an example to illustrate the general construction.
doi:10.1080/07362994.2011.532023 fatcat:4ffrhijg3nde5lkagxsffq2c4u