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

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dc.creatorMarinelli, Carlo
dc.date2007-02-21
dc.date2008-11-04
dc.date.accessioned2026-07-07T10:15:13Z
dc.date.available2026-07-07T10:15:13Z
dc.descriptionWe 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.
dc.description17 pages, final version
dc.identifierhttps://arxiv.org/abs/math/0702622
dc.identifierhttp://arxiv.org/abs/math/0702622
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/173105
dc.subjectProbability
dc.subject60G51, 60H15, 91B28
dc.titleWell-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
dc.typetext

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