This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Invariant measures for the Musiela equation with deterministic diffusion term

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Tiziano Vargiolu () (Dipartimento di Matematica Pura ed Applicata, Universit di Padova, via Belzoni 7, I-35131 Padova, Italy Manuscript)

Additional information is available for the following registered author(s):

Abstract

In this article the forward rates equation of the Musiela model is analysed. The equation is studied in the Sobolev spaces $H^1_\gamma({\Bbb R}^+)$ and $H^1({\Bbb R}^+)$. Explicit mild solutions and equivalent conditions for the existence and uniqueness of invariant measures are presented.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://link.springer.de/link/service/journals/00780/papers/9003004/90030483.pdf
File Format: application/pdf
File Function:
Download Restriction: Access to the full text of the articles in this series is restricted

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 3 (1999)
Issue (Month): 4 ()
Pages: 483-492
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:finsto:v:3:y:1999:i:4:p:483-492

Note: received: June 1996; final revision received: November 1998
Contact details of provider:
Web page: http://www.springerlink.com/content/101164/

Order Information:
Web: http://link.springer.de/orders.htm

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords: term structure of interest rates; stochastic partial differential equations; mild solutions; invariant measures; $C^0$-semigroups in Hilbert spaces;

Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

Statistics
Access and download statistics

Did you know? You too can volunteer with RePEc.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.