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

Marinelli, Carlo

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@article{ Marinelli2010,
 title = {Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise},
 author = {Marinelli, Carlo},
 journal = {Quantitative Finance},
 number = {1},
 pages = {39-47},
 volume = {10},
 year = {2010},
 doi = {https://doi.org/10.1080/14697680802595692},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221409},
 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 solutions are also discussed.},
}