Invariant measures for the Musiela equation with deterministic diffusion term

Tiziano Vargiolu

Finance and Stochastics, 1999, vol. 3, issue 4, 483-492

Abstract: In this article the forward rates equation of the Musiela model is analysed. The equation is studied in the Sobolev spaces $H^1_\gamma({\Bbb R}^+)$ and $H^1({\Bbb R}^+)$. Explicit mild solutions and equivalent conditions for the existence and uniqueness of invariant measures are presented.

Keywords: term structure of interest rates; stochastic partial differential equations; mild solutions; invariant measures; $C^0$-semigroups in Hilbert spaces (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Date: 1999-08-20
Note: received: June 1996; final revision received: November 1998
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Citations: View citations in EconPapers (8)

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