Invariant measures for the Musiela equation with deterministic diffusion term

In this article the forward rates equation of the Musiela model is analysed. The equation is studied in the Sobolev spaces $H^1_\gamma({\Bbb R}^+)$ and $H^1({\Bbb R}^+)$. Explicit mild solutions and equivalent conditions for the existence and uniqueness of invariant measures are presented.

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Year of publication:	1999-08-20
Authors:	Vargiolu, Tiziano
Published in:	Finance and Stochastics. - Springer. - Vol. 3.1999, 4, p. 483-492
Publisher:	Springer
Subject:	term structure of interest rates \| stochastic partial differential equations \| mild solutions \| invariant measures \| $C^0$-semigroups in Hilbert spaces

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: June 1996; final revision received: November 1998
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005390707