Heath-Jarrow-Morton-Musiela equation with linear volatility
AbstractThe paper is concerned with the problem of existence of solutions for the Heath-Jarrow-Morton equation with linear volatility. Necessary conditions and sufficient conditions for the existence of weak solutions and strong solutions are provided. It is shown that the key role is played by the logarithmic growth conditions of the Laplace exponent.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1010.5808.
Date of creation: Oct 2010
Date of revision: Nov 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-06 (All new papers)
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- Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996.
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Working Paper Series in Economics and Finance
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