Invariant measures for the Musiela equation with deterministic diffusion term
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References listed on IDEAS
- Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 31-54.
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- Lukasz Stettner, 2000. "Option Pricing in Discrete-Time Incomplete Market Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 305-321.
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- Salvatore Federico, 2011. "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, vol. 15(3), pages 421-459, September.
- Zdzislaw Brzezniak & Tayfun Kok, 2016. "Stochastic Evolution Equations in Banach Spaces and Applications to Heath-Jarrow-Morton-Musiela Equation," Papers 1608.05814, arXiv.org.
- Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
- Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
More about this item
Keywordsterm structure of interest rates; stochastic partial differential equations; mild solutions; invariant measures; $C^0$-semigroups in Hilbert spaces;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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