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Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
[journal article]
Abstract We give sufficient conditions for existence, uniqueness and ergodicity of invariant
measures for Musiela’s stochastic partial differential equation with deterministic
volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solut... view more
We give sufficient conditions for existence, uniqueness and ergodicity of invariant
measures for Musiela’s stochastic partial differential equation with deterministic
volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Basic Research, General Concepts and History of Economics
Method
theory application
Free Keywords
Term Structure; Stochastic Interest Rates; Stochastic Jumps; Stochastic Differential Equations
Document language
English
Publication Year
2010
Page/Pages
p. 39-47
Journal
Quantitative Finance, 10 (2010) 1
DOI
https://doi.org/10.1080/14697680802595692
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)