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

[journal article]

dc.contributor.authorMarinelli, Carlode
dc.date.accessioned2011-02-23T03:53:00Zde
dc.date.accessioned2012-08-29T23:07:06Z
dc.date.available2012-08-29T23:07:06Z
dc.date.issued2010de
dc.identifier.urihttp://www.ssoar.info/ssoar/handle/document/22140
dc.description.abstractWe 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.en
dc.languageen
dc.subject.ddcWirtschaftde
dc.subject.ddcEconomicsen
dc.subject.otherTerm Structure; Stochastic Interest Rates; Stochastic Jumps; Stochastic Differential Equations
dc.titleWell-posedness and invariant measures for HJM models with deterministic volatility and Lévy noiseen
dc.description.reviewbegutachtet (peer reviewed)de
dc.description.reviewpeer revieweden
dc.source.journalQuantitative Financede
dc.source.volume10de
dc.publisher.countryGBR
dc.source.issue1de
dc.subject.classozBasic Research, General Concepts and History of Economicsen
dc.subject.classozEconomic Statistics, Econometrics, Business Informaticsen
dc.subject.classozWirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatikde
dc.subject.classozAllgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaftende
dc.identifier.urnurn:nbn:de:0168-ssoar-221409de
dc.date.modified2011-03-15T10:16:00Zde
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)de
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)en
ssoar.gesis.collectionSOLIS;ADISde
ssoar.contributor.institutionhttp://www.peerproject.eu/de
internal.status3de
dc.type.stockarticlede
dc.type.documentjournal articleen
dc.type.documentZeitschriftenartikelde
dc.rights.copyrightfde
dc.source.pageinfo39-47
internal.identifier.classoz10905
internal.identifier.classoz10901
internal.identifier.document32
internal.identifier.ddc330
dc.identifier.doihttps://doi.org/10.1080/14697680802595692de
dc.subject.methodsTheorieanwendungde
dc.subject.methodstheory applicationen
dc.description.pubstatusPostprinten
dc.description.pubstatusPostprintde
internal.identifier.licence7
internal.identifier.methods15
internal.identifier.pubstatus2
internal.identifier.review1
internal.check.abstractlanguageharmonizerCERTAIN
internal.check.languageharmonizerCERTAIN_CHANGED


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