Well-posedness and invariant measures for HJM models with deterministic volatility and Levy noise

We give sufficient conditions for the existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Levy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

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Year of publication:	2010
Authors:	Marinelli, Carlo
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 1, p. 39-47
Publisher:	Taylor & Francis Journals
Subject:	American style derivative securities \| Continuous time finance \| Control of stochastic systems \| Differential equations \| Term structure

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008609624