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

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

2007-02-21

arxiv.org/abs/math/0702622v2

Mathematics

Probability

17 pages, final version

Scientific paper

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 L\'evy noise.
Conditions for the absence of arbitrage and for the existence of mild solutions
are also discussed.

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