Local well-posedness of Musiela's SPDE with Lévy noise

Details Local well-posedness of Musiela's SPDE with Lévy noise Local well-posedness of Musiela's SPDE with Lévy noise

2007-04-18

arxiv.org/abs/0704.2380v2

Mathematics

Probability

Final version

Scientific paper

We determine sufficient conditions on the volatility coefficient of Musiela's
stochastic partial differential equation driven by an infinite dimensional
L{\'e}vy process so that it admits a unique local mild solution in spaces of
functions whose first derivative is square integrable with respect to a weight.

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