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

Marinelli, Carlo

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%T Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
%A Marinelli, Carlo
%J Quantitative Finance
%N 1
%P 39-47
%V 10
%D 2010
%K Term Structure; Stochastic Interest Rates; Stochastic Jumps; Stochastic Differential Equations
%= 2011-03-15T10:16:00Z
%~ http://www.peerproject.eu/
%> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221409
%X 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.
%C GBR
%G en
%9 journal article
%W GESIS - http://www.gesis.org
%~ SSOAR - http://www.ssoar.info