Heath-Jarrow-Morton-Musiela equation with L\'evy perturbation

Micha{\l} Barski and Jerzy Zabczyk

Papers from arXiv.org

Abstract: The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond market. The equation is analyzed in weighted spaces of functions defined on $[0,+\infty)$. Sufficient conditions for local and global existence are obtained . For equation with the linear diffusion term the conditions for global existence are close to the necessary ones.

Date: 2015-12
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Published in Journal of Differential Equations, (2012), 253, 9, p. 2657-2697

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1512.04714

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