Existence of Invariant Manifolds for Stochastic Equations in Infinite Dimension

We provide a Frobenius type existence result for finite-dimensional invariant submanifolds for stochastic equations in infinite dimension, in the spirit of Da Prato and Zabczyk [5]. We recapture and make use of the convenient calculus on Frechet spaces, as developed by Kriegl and Michor [16]. Our main result is a weak version of the Frobenius theorem on Frechet spaces. As an application we characterize all finite-dimensional realizations for a stochastic equation which describes the evolution of the term structure of interest rates


Published in:
Journal of Functional Analysis, 197, 398-432
Year:
2003
ISSN:
0022-1236
Laboratories:




 Record created 2010-04-25, last modified 2018-03-17

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