# Invariant measures for the Musiela equation with deterministic diffusion term

## Author Info

• Tiziano Vargiolu

()

(Dipartimento di Matematica Pura ed Applicata, UniversitÂ di Padova, via Belzoni 7, I-35131 Padova, Italy Manuscript)

## 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.

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## Bibliographic Info

Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 3 (1999)
Issue (Month): 4 ()
Pages: 483-492

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 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.springer.com Order Information: Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2

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