A note on invariant measures for HJM models

Michael Tehranchi ()

Finance and Stochastics, 2005, vol. 9, issue 3, 389-398

Abstract: This note analyzes the mean-reverting behavior of time-homogeneous Heath-Jarrow-Morton (HJM) forward rate models in the weighted Sobolev spaces {H w } w . An explicit sufficient condition is given under which invariant measures exist for the HJM dynamics. In particular, every HJM model with constant volatility and market price of risk has a family of invariant measures parametrized by the distribution of the long rate. Copyright Springer-Verlag Berlin/Heidelberg 2005

Keywords: Term structure of interest rates; stochastic partial differential equations; invariant measures (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s00780-004-0143-6

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