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

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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.
17 pages, final version

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Probability, 60G51, 60H15, 91B28

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http://salesiana.dossiersoluciones.com/handle/123456789/173105

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0702622
 http://arxiv.org/abs/math/0702622

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arXiv