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Marinelli, Carlo [Author]

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

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  • Media type: E-Book
  • Title: Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
  • Contributor: Marinelli, Carlo [Author]
  • imprint: 2010
  • Language: English
  • DOI: https://doi.org/10.1080/14697680802595692
  • Identifier:
  • Keywords: Term Structure ; Stochastic Interest Rates ; Stochastic Jumps ; Stochastic Differential Equations
  • Origination:
  • Footnote: Postprint
    begutachtet (peer reviewed)
    In: Quantitative Finance ; 10 (2010) 1 ; 39-47
  • Description: 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.
  • Access State: Open Access