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

作者：Marinelli Carlo^*

来源：Quantitative Finance, 2010, 10(1): 39-47.

DOI：10.1080/14697680802595692

• American style derivative securities
• Continuous time finance
• Control of stochastic systems
• Differential equations
• Term structure

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.

• 出版日期2010