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

Carlo Marinelli

Quantitative Finance, 2010, vol. 10, issue 1, 39-47

Abstract: We give sufficient conditions for the existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Levy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

Keywords: American style derivative securities; Continuous time finance; Control of stochastic systems; Differential equations; Term structure (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/14697680802595692

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