Vargiolu, Tiziano - In: Finance and Stochastics 3 (1999) 4, pp. 483-492
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.